Bidirectional Volatility Spillover Effect between the Exchange Rate and Stocks in the Presence of Structural Breaks in Selected Eastern European Economies
This paper investigates the second moment spillover effect between stock returns and exchange rate changes in both directions in four Eastern European emerging markets, assuming the presence of multiple structural breaks. The data sample consists of daily observations and the methodology is based on...
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| Veröffentlicht in: | Finance a úvěr 2015-01, Vol.65 (6), p.477 |
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| creator | Zivkov, Dejan Njegic, Jovan Milenkovic, Ivan |
| description | This paper investigates the second moment spillover effect between stock returns and exchange rate changes in both directions in four Eastern European emerging markets, assuming the presence of multiple structural breaks. The data sample consists of daily observations and the methodology is based on a two-step symmetric/asymmetric fractionally integrated generalized autoregressive conditional heteroskedasticity approach, with a rolling technique and structural breaks integration. The results indicate that the spillover effect has a much greater impact when spillover is from the exchange rate market toward the stock market than in the opposite case and it is time-varying. The inclusion of structural breaks in the model implies that the volatility spillover effect might be biased in stock markets. The applied models suggest that volatility persistence is overestimated in all asset markets if sudden changes are not recognized in the models. |
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The data sample consists of daily observations and the methodology is based on a two-step symmetric/asymmetric fractionally integrated generalized autoregressive conditional heteroskedasticity approach, with a rolling technique and structural breaks integration. The results indicate that the spillover effect has a much greater impact when spillover is from the exchange rate market toward the stock market than in the opposite case and it is time-varying. The inclusion of structural breaks in the model implies that the volatility spillover effect might be biased in stock markets. The applied models suggest that volatility persistence is overestimated in all asset markets if sudden changes are not recognized in the models.</description><identifier>ISSN: 0015-1920</identifier><identifier>EISSN: 2464-7683</identifier><language>eng</language><publisher>Prague: Charles University, Faculty of Social Sciences</publisher><subject>Emerging markets ; Foreign exchange markets ; Foreign exchange rates ; Hypotheses ; Industrialized nations ; International finance ; Investments ; Prices ; Rates of return ; Securities markets ; Stochastic models ; Stock exchanges ; Studies ; Volatility</subject><ispartof>Finance a úvěr, 2015-01, Vol.65 (6), p.477</ispartof><rights>Copyright Charles University, Faculty of Social Sciences 2015</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><link.rule.ids>314,780,784</link.rule.ids></links><search><creatorcontrib>Zivkov, Dejan</creatorcontrib><creatorcontrib>Njegic, Jovan</creatorcontrib><creatorcontrib>Milenkovic, Ivan</creatorcontrib><title>Bidirectional Volatility Spillover Effect between the Exchange Rate and Stocks in the Presence of Structural Breaks in Selected Eastern European Economies</title><title>Finance a úvěr</title><description>This paper investigates the second moment spillover effect between stock returns and exchange rate changes in both directions in four Eastern European emerging markets, assuming the presence of multiple structural breaks. The data sample consists of daily observations and the methodology is based on a two-step symmetric/asymmetric fractionally integrated generalized autoregressive conditional heteroskedasticity approach, with a rolling technique and structural breaks integration. The results indicate that the spillover effect has a much greater impact when spillover is from the exchange rate market toward the stock market than in the opposite case and it is time-varying. The inclusion of structural breaks in the model implies that the volatility spillover effect might be biased in stock markets. The applied models suggest that volatility persistence is overestimated in all asset markets if sudden changes are not recognized in the models.</description><subject>Emerging markets</subject><subject>Foreign exchange markets</subject><subject>Foreign exchange rates</subject><subject>Hypotheses</subject><subject>Industrialized nations</subject><subject>International finance</subject><subject>Investments</subject><subject>Prices</subject><subject>Rates of return</subject><subject>Securities markets</subject><subject>Stochastic models</subject><subject>Stock exchanges</subject><subject>Studies</subject><subject>Volatility</subject><issn>0015-1920</issn><issn>2464-7683</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2015</creationdate><recordtype>article</recordtype><sourceid>ABUWG</sourceid><sourceid>AFKRA</sourceid><sourceid>BENPR</sourceid><sourceid>CCPQU</sourceid><sourceid>DWQXO</sourceid><recordid>eNotkM1OAyEcxDdGE2v1HUg8bwILLOzRmvUjaaKx6rVh2T8tFaEC68er-LSS1NNMZia_wxxVs4a1rBatpMfVDGPCa9I1-LQ6S2mHMZNC8ln1u7CjjaCzDV459BqcytbZ_INWe-tc-ISIemPKAA2QvwA8yltA_bfeKr8B9KQyIOVHtMpBvyVkD_1jhAReAwqmNHHSeYoFv4igDqMVuMKEEfUqZYge9VMMe1DF6ODDu4V0Xp0Y5RJc_Ou8ernpn6_v6uXD7f311bLeNEzkmg5cAcgBxg6PhlBiho61bSuxkZzIhjdaAlUYBCeG4FFTyokooWk7Q4HReXV54O5j-Jgg5fUuTLG8kdZEcMpIuU7QPze1Zzs</recordid><startdate>20150101</startdate><enddate>20150101</enddate><creator>Zivkov, Dejan</creator><creator>Njegic, Jovan</creator><creator>Milenkovic, Ivan</creator><general>Charles University, Faculty of Social Sciences</general><scope>0U~</scope><scope>1-H</scope><scope>3V.</scope><scope>7WY</scope><scope>7WZ</scope><scope>7XB</scope><scope>87Z</scope><scope>8FK</scope><scope>8FL</scope><scope>ABUWG</scope><scope>AFKRA</scope><scope>BENPR</scope><scope>BEZIV</scope><scope>BYOGL</scope><scope>CCPQU</scope><scope>DWQXO</scope><scope>FRNLG</scope><scope>F~G</scope><scope>K60</scope><scope>K6~</scope><scope>L.-</scope><scope>L.0</scope><scope>M0C</scope><scope>PQBIZ</scope><scope>PQBZA</scope><scope>PQEST</scope><scope>PQQKQ</scope><scope>PQUKI</scope><scope>PRINS</scope><scope>Q9U</scope></search><sort><creationdate>20150101</creationdate><title>Bidirectional Volatility Spillover Effect between the Exchange Rate and Stocks in the Presence of Structural Breaks in Selected Eastern European Economies</title><author>Zivkov, Dejan ; Njegic, Jovan ; Milenkovic, Ivan</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-g247t-3b5aee8bed90df131fb9466680f8518252c8e3a0e751f10dc335172c8f69f3e43</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2015</creationdate><topic>Emerging markets</topic><topic>Foreign exchange markets</topic><topic>Foreign exchange rates</topic><topic>Hypotheses</topic><topic>Industrialized nations</topic><topic>International finance</topic><topic>Investments</topic><topic>Prices</topic><topic>Rates of return</topic><topic>Securities markets</topic><topic>Stochastic models</topic><topic>Stock exchanges</topic><topic>Studies</topic><topic>Volatility</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Zivkov, Dejan</creatorcontrib><creatorcontrib>Njegic, Jovan</creatorcontrib><creatorcontrib>Milenkovic, Ivan</creatorcontrib><collection>Global News & ABI/Inform Professional</collection><collection>Trade PRO</collection><collection>ProQuest Central (Corporate)</collection><collection>Access via ABI/INFORM (ProQuest)</collection><collection>ABI/INFORM Global (PDF only)</collection><collection>ProQuest Central (purchase pre-March 2016)</collection><collection>ABI/INFORM Global (Alumni Edition)</collection><collection>ProQuest Central (Alumni) (purchase pre-March 2016)</collection><collection>ABI/INFORM Collection (Alumni Edition)</collection><collection>ProQuest Central (Alumni Edition)</collection><collection>ProQuest Central UK/Ireland</collection><collection>ProQuest Central</collection><collection>Business Premium Collection</collection><collection>East Europe, Central Europe Database</collection><collection>ProQuest One Community College</collection><collection>ProQuest Central Korea</collection><collection>Business Premium Collection (Alumni)</collection><collection>ABI/INFORM Global (Corporate)</collection><collection>ProQuest Business Collection (Alumni Edition)</collection><collection>ProQuest Business Collection</collection><collection>ABI/INFORM Professional Advanced</collection><collection>ABI/INFORM Professional Standard</collection><collection>ABI/INFORM Global</collection><collection>ProQuest One Business</collection><collection>ProQuest One Business (Alumni)</collection><collection>ProQuest One Academic Eastern Edition (DO NOT USE)</collection><collection>ProQuest One Academic</collection><collection>ProQuest One Academic UKI Edition</collection><collection>ProQuest Central China</collection><collection>ProQuest Central Basic</collection><jtitle>Finance a úvěr</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Zivkov, Dejan</au><au>Njegic, Jovan</au><au>Milenkovic, Ivan</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Bidirectional Volatility Spillover Effect between the Exchange Rate and Stocks in the Presence of Structural Breaks in Selected Eastern European Economies</atitle><jtitle>Finance a úvěr</jtitle><date>2015-01-01</date><risdate>2015</risdate><volume>65</volume><issue>6</issue><spage>477</spage><pages>477-</pages><issn>0015-1920</issn><eissn>2464-7683</eissn><abstract>This paper investigates the second moment spillover effect between stock returns and exchange rate changes in both directions in four Eastern European emerging markets, assuming the presence of multiple structural breaks. The data sample consists of daily observations and the methodology is based on a two-step symmetric/asymmetric fractionally integrated generalized autoregressive conditional heteroskedasticity approach, with a rolling technique and structural breaks integration. The results indicate that the spillover effect has a much greater impact when spillover is from the exchange rate market toward the stock market than in the opposite case and it is time-varying. The inclusion of structural breaks in the model implies that the volatility spillover effect might be biased in stock markets. The applied models suggest that volatility persistence is overestimated in all asset markets if sudden changes are not recognized in the models.</abstract><cop>Prague</cop><pub>Charles University, Faculty of Social Sciences</pub></addata></record> |
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| source | EBSCOhost Business Source Complete; EZB-FREE-00999 freely available EZB journals |
| subjects | Emerging markets Foreign exchange markets Foreign exchange rates Hypotheses Industrialized nations International finance Investments Prices Rates of return Securities markets Stochastic models Stock exchanges Studies Volatility |
| title | Bidirectional Volatility Spillover Effect between the Exchange Rate and Stocks in the Presence of Structural Breaks in Selected Eastern European Economies |
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