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An analysis of CEE equity market integration and their volatility spillover effects

Author

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  • Ngo Thai Hung
Abstract
Purpose - The purpose of this paper is to examine the conditional correlations and spillovers of volatilities across CEE markets, namely, Hungary, Poland, the Czech Republic, Romania and Croatia, in the post-2007 financial crisis period. Design/methodology/approach - The authors use five-dimensional GARCH-BEKK alongside with the CCC and DCC models. Findings - The estimation results of the three models generally demonstrate that the correlations between these markets are particularly significant. Also, own-volatility spillovers are generally lower than cross-volatility spillovers for all markets. Practical implications - These results recommend that investors should take caution when investing in the CEE equity markets as well as diversifying their portfolios so as to minimize risk. Originality/value - Unlike the previous studies in this field, this paper is the first study using multivariate GARCH-BEKK alongside with CCC and DCC models. The study makes an outstanding contribution to the existing literature on spillover effects and conditional correlations in the CEE financial stock markets.

Suggested Citation

  • Ngo Thai Hung, 2019. "An analysis of CEE equity market integration and their volatility spillover effects," European Journal of Management and Business Economics, Emerald Group Publishing Limited, vol. 29(1), pages 23-40, September.
    • Handle: RePEc:eme:ejmbep:ejmbe-01-2019-0007
    DOI: 10.1108/EJMBE-01-2019-0007
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    Citations

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    Cited by:

    1. Zaghum Umar & Oluwasegun Babatunde Adekoya & Mariya Gubareva & Sabri Boubaker, 2024. "Returns and volatility connectedness among the Eurozone equity markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(3), pages 3103-3122, July.
    2. Ngo Thai Hung, 2020. "Market integration among foreign exchange rate movements in central and eastern European countries," Society and Economy, Akadémiai Kiadó, Hungary, vol. 42(1), pages 1-20, March.

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