Articles producció científica> Gestió d'Empreses

A new risk history: The Eastern Europe case

  • Identification data

    Identifier: PC:759
    Handle: https://hdl.handle.net/20.500.11797/PC759
    Authors:
    Cano Berlanga, SAndreu Corbatón, J.Cardona Tomàs, J.M.
    Abstract:
    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.

  • Others:

    Author, as appears in the article.: Cano Berlanga, S Andreu Corbatón, J. Cardona Tomàs, J.M.
    Papper version: info:eu-repo/semantics/publishedVersion
    Department: Gestió d'Empreses
    e-ISSN: 2224-2899
    Licence document URL: https://repositori.urv.cat/ca/proteccio-de-dades/
    Abstract: 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.
    Entity: Universitat Rovira i Virgili.
    Journal publication year: 2014
    licence for use: https://creativecommons.org/licenses/by/3.0/es/
    First page: 188
    Last page: 198
    Journal volume: 11