No open-access location is known for this record yet.
No open-access location is known for this record yet.
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).
Loading…
Stored only when both papers are in the corpus — 27 citations exist upstream.
Papers that cite the same references — the relational fallback while embeddings are still backfilling.
Imported from OpenAlex (CC0) — nothing here is generated.