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Author: Simi, Angeliki
Title: Volatility Spillovers in stock markets in emerging & developing countries.
Date Issued: 2021
Department: Πρόγραμμα Μεταπτυχιακών Σπουδών στις Πολιτικές και Οικονομικές Σπουδές Σύγχρονης Ανατολικής και Νοτιοανατολικής Ευρώπης
Supervisor: Koulakiotis, Athanasios
Abstract: This master dissertation investigates volatility spillovers in stock exchange markets of four emerging and developing countries (Kazakhstan, Turkey, Poland and Russia). The data sample consists of daily observations from January 2009 to December 2019 and the methodology is based on an augmented univariate AR-EGARCH model. Two explanatory variables are introduced to the equations i.e. the trading volume of the stock indexes and the fluctuations of exchange rates. The results of the study confirm the presence of volatility and volatility spillovers in all the examined indexes. Trading volume and exchange rate also have an impact on the indexes and their volatility spillovers in most of the cases. Finally, the presence of leverage effect is also evident in most of the cases, which means that bad news/ shocks etc. impact, to a great extent, the indexes and volatility.
Keywords: Volatility
Volatility spillovers
Emerging markets
Developing markets
Leverage effect
exchange rate
Trading volume
Information: Διπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2021.
Rights: Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Appears in Collections:ΠΜΣ Πολιτικές & Οικονομικές Σπουδές Σύγχρονης Ανατολικής & Νοτιοανατολικής Ευρώπης (M)

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