Influence of news in Moscow and New York on returns and risks on Baltic States' stock markets
2011 (English)In: Baltic Journal of Economics, ISSN 1406-099X, Vol. 11, no 1, 109-124 p.Article in journal (Refereed) Published
The impact of news from the Moscow and New York stock exchanges on the daily returns and volatilities of the Baltic stock market indices is studied. A nonlinear time series model that accounts for asymmetries in the conditional mean and variance functions is used for the empirical work. News from New York has stronger e¤ects on returns in Tallinn than news from Moscow. High-risk shocks in New York have a stronger impact on volatility in Tallinn, whereas volatility of Vilnius is more in.uenced by high-risk shocks from Moscow. Riga seems not to be a¤ected by news arriving from abroad.
Place, publisher, year, edition, pages
2011. Vol. 11, no 1, 109-124 p.
Estonia, Latvia, Lithuania, Time series, Estimation, Finance
Research subject Econometrics
IdentifiersURN: urn:nbn:se:umu:diva-16097ISI: 000294512400006OAI: oai:DiVA.org:umu-16097DiVA: diva2:155770