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Back on the map: essays on financial markets in the Baltic States
Umeå University, Faculty of Social Sciences, Department of Economics.
2011 (English)Doctoral thesis, comprehensive summary (Other academic)
Abstract [en]

 This thesis consists of five self-contained papers, which are all related to the financial markets in the three Baltic States, Estonia, Latvia and Lithuania.

 Paper [I] studies the impact of news from the Moscow and New York stock exchanges on the returns and volatilities of the Baltic States' stock market indices using a time series model that accounts for asymmetries in the conditional mean and variance functions. We find that news from New York has stronger e¤ects on returns in Tallinn. High-risk shocks in New York have a stronger impact on volatility in Tallinn, whereas volatility in Vilnius is more in.uenced by high-risk shocks from Moscow. Riga does not seem to be affected by news arriving from abroad.

Paper [II] suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in returns and in volatilities, as well as asymmetric effects arising from shocks and exogenous variables. The model is employed to study the three Baltic States' stock exchanges. Using daily data, we find recursive structures, with returns in Riga, directly depending on returns in Tallinn and Vilnius, and Tallinn on Vilnius. For volatilities, both Riga and Vilnius depend on Tallinn.

Paper [III] studies the link between political news, and the returns and volatilities in the Baltic States' stock markets. We find that domestic and foreign non-Russian political news led, on average, to lower uncertainty in the stock markets of Riga and Tallinn in 2001-2003. At the same time, political risk from Russia increased the volatility of the stock market in Tallinn. There is a weak relationship between political risk and the stock market volatility in the Baltic countries in 2004-2007.

Paper [IV] studies the impact of market jumps on the time varying return correlations between stock market indices in the Baltic countries. An EARJI-EGARCH model facilitating direct modeling of the time varying return correlations is introduced. The empirical results indicate that there are quite a large number of identified jumps in the emerging Baltic States' stock markets. Isolated market jumps in one of the markets generally have no or small e¤ects on the time-varying correlations. In contrast, simultaneous jumps of equal sign increase the average correlation, in some cases by as much as 100 percent.

In Paper [V] the hypothesis that financial development promotes economic growth is tested for the three Baltic countries using a time series approach that allows for interactions between the countries. We find that economic growth is a positive function of financial development, proxied by the amount of bank credit to the private sector, in the long run. The results also show that there is long run interaction between the three Baltic countries.

Place, publisher, year, edition, pages
Umeå: Umeå University, Department of Economics , 2011. , 24 p.
Series
Umeå economic studies, ISSN 0348-1018 ; 820
Keyword [en]
Financial Markets, Time series, GARCH, Asymmetry, News
Research subject
Economics
Identifiers
URN: urn:nbn:se:umu:diva-39535ISBN: 978-91-7459-142-2 (print)OAI: oai:DiVA.org:umu-39535DiVA: diva2:393568
Public defence
2011-02-25, Samhällsvetarhuset, Hörsal C, Umeå Universitet, Umeå, 10:15 (English)
Opponent
Supervisors
Available from: 2011-02-04 Created: 2011-01-31 Last updated: 2011-02-04Bibliographically approved
List of papers
1. Influence of news in Moscow and New York on returns and risks on Baltic States' stock markets
Open this publication in new window or tab >>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
Abstract [en]

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.

Keyword
Estonia, Latvia, Lithuania, Time series, Estimation, Finance
National Category
Economics
Research subject
Econometrics
Identifiers
urn:nbn:se:umu:diva-16097 (URN)000294512400006 ()
Available from: 2007-08-17 Created: 2007-08-17 Last updated: 2017-12-14Bibliographically approved
2. Simultaneity and asymmetry of returns and volatilities: the emerging Baltic States' stock exchanges
Open this publication in new window or tab >>Simultaneity and asymmetry of returns and volatilities: the emerging Baltic States' stock exchanges
2012 (English)In: Studies in Nonlinear Dynamics and Econometrics, ISSN 1081-1826, E-ISSN 1558-3708, Vol. 16, no 1, 22 p.Article in journal (Refereed) Published
Abstract [en]

The paper suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in returns and in volatilities, as well as asymmetric effects arising from shocks. Using daily data 2000-2006 for the Baltic state stock exchanges and that of Moscow we find recursive structures with Riga directly depending in returns on Tallinn and Vilnius, and Tallinn on Vilnius. For volatilities both Riga and Vilnius depend on Tallinn. In addition,we find evidence of asymmetric effects of shocks arising in Moscow and in the Baltic state on both returns and volatilities.

Place, publisher, year, edition, pages
Walter de Gruyter, 2012. 22 p.
Keyword
Time series, nonlinear, multivariate, finance, value at risk, portfolio allocation
National Category
Economics
Research subject
Econometrics
Identifiers
urn:nbn:se:umu:diva-22196 (URN)10.1515/1558-3708.1855 (DOI)
Distributor:
Institutionen för nationalekonomi, 90187, Umeå
Available from: 2009-04-28 Created: 2009-04-27 Last updated: 2017-12-13Bibliographically approved
3. Impact of political news on the Baltic State stock markets
Open this publication in new window or tab >>Impact of political news on the Baltic State stock markets
2008 (English)Report (Other academic)
Abstract [en]

This paper studies the link between political news releases, and the returns and volatilities in the stock markets of Riga, Tallinn and Vilnius. Political news releases are viewed as proxies for political risk. The results indicate that political news events regarding domestic and foreign, excluding Russia, political issues led, on average, to lower uncertainty in the stock markets of Riga and Tallinn in 2001-2003. At the same time, political risk from Russia increased the volatility of the stock market in Tallinn. We found that there is only a weak relationship between political risks of different origins and the stock market volatility in the Baltic states in 2004-2007. In addition, we found a significant Monday effect, consistent with the trading behavior of institutional investors.

Place, publisher, year, edition, pages
Umeå: Umeå university, Department of Economics, 2008
Series
Umeå economic studies, ISSN 0348-1018 ; 735
Keyword
Public information arrival, political risk, volatility, multivariate GARCH
Research subject
Economics
Identifiers
urn:nbn:se:umu:diva-39502 (URN)
Available from: 2011-01-28 Created: 2011-01-28 Last updated: 2011-02-04Bibliographically approved
4. The impact of stock market jumps on time-varying return correlations: empirical evidence from the Baltic countries
Open this publication in new window or tab >>The impact of stock market jumps on time-varying return correlations: empirical evidence from the Baltic countries
2010 (English)In: Umeå Economic Studies, ISSN 0348-1018, no 816Article, review/survey (Other academic) Published
Abstract [en]

In this paper we study the impact of market jumps on the time varying return correlations between stock market indices in the Baltic countries. An EARJI-EGARCH model facilitating direct modelling of the time varying return correlations is introduced. The empirical results indicate that there is a quite large number of identi…ed jumps in the emerging Baltic stock markets. The main …nding is that isolated market jumps in one of the markets generally have no or small e¤ects on the time-varying correlations. In contrast, simultaneous jumps of equal sign increase the average correlation, in some cases with as much as 100 percent

Keyword
Correlated jumps, contagion
Research subject
Economics
Identifiers
urn:nbn:se:umu:diva-39501 (URN)
Note
fulltexten får publiceras/MEAvailable from: 2011-01-28 Created: 2011-01-28 Last updated: 2011-02-04Bibliographically approved
5. Financial intermediation and economic growth: evidence from the Baltic countries
Open this publication in new window or tab >>Financial intermediation and economic growth: evidence from the Baltic countries
2010 (English)In: Umeå economic studies, ISSN 0348-1018, no 817Article, review/survey (Other academic) Published
Abstract [en]

 The hypothesis that financial development promotes economic growth is largely supported by empirical studies. This hypothesis is tested for the three Baltic countries using a time series approach that allows for interactions between the three countries. We find that economic growth is a positive function of financial development, proxied by banking credit available to private sector, in the long run. The results also show that there are long run interactions between the three Baltic countries.

Place, publisher, year, edition, pages
Umeå: Department of Economics, Umeå University, 2010
Keyword
Cointegration; Spillovers; Financial development; Emerging markets
National Category
Economics
Research subject
Economics
Identifiers
urn:nbn:se:umu:diva-39500 (URN)
Note
fulltexten får publiceras/MEAvailable from: 2011-01-28 Created: 2011-01-28 Last updated: 2011-02-04Bibliographically approved

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