Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/317604 
Year of Publication: 
2022
Citation: 
[Journal:] Journal of Business Economics and Management (JBEM) [ISSN:] 2029-4433 [Volume:] 23 [Issue:] 6 [Year:] 2022 [Pages:] 1280-1298
Publisher: 
Vilnius Gediminas Technical University, Vilnius
Abstract: 
The CEE stock markets are more and more integrated in the European financial markets. The growth of the integration of financial markets favours the volatility and return spillover between them. The current study analyses the volatility spillover among the stock markets in the countries from Central and East Europe (CEE) and Germany and France with the aim to identify the possibilities of reduction of a portfolio risk. A special attention is granted to the analysis during the pandemic caused by COVID-19. The time-varying parameter vector autoregressive (TVP-VAR) model on which is based the methodology proposed by Antonakakis and Gabauer (2017) is used to estimate the evolution in time of volatility spillover. The empirical results obtained for the period January 2001 - September 2021 highlight the increase in volatility spillover between the countries analysed when the pandemic caused by COVID-19 was confirmed. The lack of volatility integration of the markets analysed enables the making of arbitrages in order to reduce the risk of a portfolio. The results obtained are important in the management of financial asset portfolios.
Subjects: 
stock markets
emerging markets
risk
volatility transmission
TVP-VAR
spillover index
JEL: 
C58
D53
G15
O57
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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