search query: @indexterm EUROPE, EAST / total: 523
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| Author: | Shields, K. |
| Title: | Threshold modelling of stock return volatility on Eastern European markets |
| Journal: | Economics of Planning
1997 : VOL. 30:2/3, p. 107-125 |
| Index terms: | STOCK RETURNS EUROPE, EAST MARKETS |
| Language: | eng |
| Abstract: | A common finding for developed stock markets is that negative shocks entering the market lead to a larger return volatility than positive stocks of a similar magnitude. The following paper considers two emerging Eastern European markets where the first point of investigation is whether an analogous asymmetric characteristic is reflected in emerging markets. The second point is whether the findings differ depending on the institutional microstructure of the exchange being examined. Hence, econometric techniques are adjusted and a double-censored tobit GARCH model is developed. |
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