Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2019.1699138
Frequency domain causality analysis of intra- and inter-regional return and volatility spillovers of South-East European (SEE) stock markets
Mustafa Özer
Sandra Kamenković
Zoran Grubišić
Sažetak
In this study the return spillovers and volatility spillovers between
South-East European (SEE) stock markets are investigated as well
as vis-a-vis regional and global stock markets (e.g. Europe, Japan,
China and the US). By using Frequency Domain Causality
approach, the evidence is found of significant spillover effects
between markets. The results of study indicate both short-and
long-run intra- and inter-regional return and volatility spillovers
detected between South-East European (SEE) stock markets and
the emerging and the mature markets around the globe, implying
limited diversification benefits for international investor portfolios
allocated to these markets. Thus, these results should be taken
into account by portfolio managers, investors and policy makers
before making any investment decision into region’s stock markets.
The policy makers and regulators of these markets should
consider the nature and frequency of regional and global integration
of their stock markets.
Ključne riječi
Return and volatility spillovers; frequency domain causality; granger causality; South-East Europe
Hrčak ID:
254349
URI
Datum izdavanja:
9.2.2021.
Posjeta: 784 *