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Erscheinungsjahr: 
2021
Quellenangabe: 
[Journal:] Business, Management and Economics Engineering (BMEE) [ISSN:] 2669-249X [Volume:] 19 [Issue:] 1 [Year:] 2021 [Pages:] 70-90
Verlag: 
Vilnius Gediminas Technical University, Vilnius
Zusammenfassung: 
Purpose - This article examines volatility spillovers, cross-market correlation, and comovements between selected developed and former communist emerging stock markets in the European Union. Modelling the behavioural dynamics of European stock markets represents a vital topic in a fascinating context, but also a current challenge of great interest. Research Methodology - We propose to estimate and model volatility using GARCH family models for selected European markets. We aim to explore volatility movement, presence of leverage effect/ asymmetry in selected financial markets. Findings - The econometric approach includes GARCH (1, 1) models for the sample period from 1, January 2000 to 12, July 2018. The empirical results revealed that exists a significant presence of volatility clustering in all selected financial markets except Poland and Croatia. The empirical analysis also indicates that both recent and past news generate a considerable impact on present volatility. Research limitations - Our empirical study has certain limitations regarding the relatively small number of only eight stock markets. Practical implications - It can provide a useful perspective for researchers, academics, investors, investment managers, decision-makers, and scientists. Originality/Value - The empirical analysis is focused on 8 European stock markets, which are classified as developed (Spain, UK, Germany, and France) and emerging (Poland, Hungary, Croatia, and Romania).
Schlagwörter: 
volatility spillover
GARCH family models
stock market dynamics
investor behaviour
diversification
news
JEL: 
C58
G15
D53
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