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

机译：CEE股票市场整合及其波动溢出效应分析

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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.
机译：目的本文的目的是研究2007年后金融危机时期中东欧，东欧，匈牙利，波兰，捷克共和国，罗马尼亚和克罗地亚等中东欧市场波动的条件相关性和溢出效应。设计/方法/方法作者将5维GARCH-BEKK与CCC和DCC模型一起使用。调查结果三种模型的估计结果通常表明，这些市场之间的相关性特别重要。同样，对于所有市场，自身波动性溢出通常低于交叉波动性溢出。实际意义这些结果表明，投资者在中东欧股票市场投资以及分散其投资组合时应谨慎行事，以最大程度地降低风险。创意/价值与该领域的先前研究不同，本文是第一项使用多元GARCH-BEKK以及CCC和DCC模型的研究。该研究为有关中东欧金融股票市场中溢出效应和条件相关性的现有文献做出了杰出贡献。

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