Price and volatility spillovers in Scandinavian stock markets

Article Abstract:

An inquiry into the price and volatility spillovers of four Scandinavian stock markets namely Finland, Norway, Denmark and Sweden showed that the four markets are each well defined by a multivariate Exponential Generalized Autoregressive Conditionally Heteroskedastic (EGARCH) model with returns that are autoregressive. Past values strongly affect the volatilities and returns of each market, with linear dependencies possible caused by the existence of some form of market efficiency ot the existence of time-varying risk premia. The study also showed that the four markets have weak ties to each other, with there volatility spillovers and three price spillovers created out of the 12 possible pairings.

Securities Exchanges, Finland, Denmark, International trade, Sweden, Exchanges, Scandinavia, Securities, Norway

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Asymmetric reverting behavior of short-horizon stock returns: an evidence of stock market overreaction

Article Abstract:

Research examining reverting patterns of monthly return indexes of the stock markets NASDAQ, New York Stock Exchange and American Stock Exchange is presented. Particular attention is given to uneven mean reverting patterns of return indexes on the basis of non-linear asymmetric smooth-transition GARCH models.

Other Financial Vehicles, Security & commodity services, not elsewhere classified, Stock Quotation Services, New York Stock Exchange, American Stock Exchange, Models, Management, Securities industry, New York Stock Exchange Inc., Return on investment, The Nasdaq Stock Market Inc., Rate of return, American Stock Exchange L.L.C.

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