Articles producció científica> Gestió d'Empreses

A new risk history: The Eastern Europe case

  • Dades identificatives

    Identificador: PC:759
    Handle: https://hdl.handle.net/20.500.11797/PC759
    Autors:
    Cano Berlanga, SAndreu Corbatón, J.Cardona Tomàs, J.M.
    Resum:
    Eastern European Emerging Markets (EEEM's) have been superficially analysed in the literature. In this paper, the authors use a T-GARCH and E-GARCH approach to model volatility in eleven EEEM's, being one of the most comprehensive analysis in terms of number of markets. Data includes daily returns from 2004 to 2011. Main findings show higher unconditional volatility in EEEM's than in developed markets, but risk premium is statistically negative or non significant in this markets. Almost all markets show an important and significant leverage effect, contrary to previous results in the literature. According to the news impact and decay parameters, volatility is more difficult to predict in EEEM's than in developed markets. Greece, Hungary, Poland and Turkey seem to be the maturest EEEM's markets. Finally, no significant differences are found among countries inside and outside European Union.

  • Altres:

    Autor segons l'article: Cano Berlanga, S Andreu Corbatón, J. Cardona Tomàs, J.M.
    Versió de l'article dipositat: info:eu-repo/semantics/publishedVersion
    Departament: Gestió d'Empreses
    e-ISSN: 2224-2899
    URL Document de llicència: https://repositori.urv.cat/ca/proteccio-de-dades/
    Resum: Eastern European Emerging Markets (EEEM's) have been superficially analysed in the literature. In this paper, the authors use a T-GARCH and E-GARCH approach to model volatility in eleven EEEM's, being one of the most comprehensive analysis in terms of number of markets. Data includes daily returns from 2004 to 2011. Main findings show higher unconditional volatility in EEEM's than in developed markets, but risk premium is statistically negative or non significant in this markets. Almost all markets show an important and significant leverage effect, contrary to previous results in the literature. According to the news impact and decay parameters, volatility is more difficult to predict in EEEM's than in developed markets. Greece, Hungary, Poland and Turkey seem to be the maturest EEEM's markets. Finally, no significant differences are found among countries inside and outside European Union.
    Entitat: Universitat Rovira i Virgili.
    Any de publicació de la revista: 2014
    Accès a la llicència d'ús: https://creativecommons.org/licenses/by/3.0/es/
    Pàgina inicial: 188
    Pàgina final: 198
    Volum de revista: 11