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Volatility spillover effect in Western Balkans

Latinovic, Milica and Bogojevic Arsic, Vesna and Bulajic, Milica (2018) Volatility spillover effect in Western Balkans. Acta Oeconomica, 68 (1). pp. 79-100. ISSN 0001-6373

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Abstract

This article examines volatility spillover among Western Balkan’s stock markets and selected developed markets. If there is an evidence of weak linkage between various markets, then there are potential benefits that could arise from international diversification. However, if we analyse the relationship between two markets that are different in terms of their economic development, and if there is a strong connection between them, market shocks from the developed markets can have an impact on the frontier/emerging markets. Market integration can be indicated with returns linkage and transmission of shocks and volatility between markets. Hence, this can have implications for investment strategies. It is found that there is statistically significant regional spillover between countries of the Western Balkan region. Also, there is global spillover between developed markets and this region as well. Furthermore, there is evidence that Western Balkan’s markets are late in response to important market events, and that can be used when formulating investment strategy.

Item Type: Article
Subjects: H Social Sciences / társadalomtudományok > H Social Sciences (General) / társadalomtudomány általában
Depositing User: Eszter Bálint
Date Deposited: 02 Jan 2019 08:54
Last Modified: 31 Mar 2020 23:19
URI: http://real.mtak.hu/id/eprint/89111

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