التفاصيل البيبلوغرافية
| العنوان: |
Prelivanje volatilnosti (nestabilnosti) između najznačajnijih evropskih tržišta kapitala prije i poslije finansijske krize 2008-2009. (Bosnian) |
| العنوان البديل: |
Transmission of volatilities among major European equity markets before and after 2008-09 financial crisis. (English) |
| المؤلفون: |
Dedi, Lidija |
| المصدر: |
Financing; dec2018, Issue 4, p15-29, 15p |
| مصطلحات موضوعية: |
EXCHANGE traded funds, STOCK exchanges, MARKET volatility, EUROZONE, PERSISTENCE |
| الملخص (بالإنجليزية): |
This paper investigates volatility persistence and transmission of volatilities before and after the 2008-09 crisis using exchange traded funds (ETFs) in the major European equity markets: France, Germany, Italy, Spain and UK. GARCH (1, 1) and EGARCH (1, 1) are applied to daily returns on country ETFs from August 30, 2002 to August 31, 2007 and December 31, 2009 to December 31, 2015. The results show that volatilities react strongly to market movements and their shocks fade away slowly in Eurozone. Furthermore, volatility spills over among the sample equity markets in the post crisis period. In the pre-crisis period, only UK market volatility spills over to other markets. [ABSTRACT FROM AUTHOR] |
| Abstract (Bosnian): |
Rad istražuje postojanost volatilnosti (nestabilnosti) i njeno prelivanje prije i nakon finansijske krize 2008-2009. korištenjem ETF-a (Exchange traded funds) na najznačajnijim evropskim tržištima kapitala: Francuska, Njemačka, Italija, Španija i Velika Britanija. GARCH (1,1) i EGARCH (1, 1) primijenjeni su na dnevne izvještaje ETF-a pojedinih zemalja u periodu od 30. avgusta 2002. do 31. decembra 2007. i od 31. decembra 2009. do 31. decembra 2015. Rezultati pokazuju da je u evrozoni volatilnost snažno reagovala na tržišna kretanja i taj šok je polako izblijedio u evrozoni. Također, volatilnost se preliva između tržišta kapitala iz uzoraka posmatranih tržišta u periodu nakon krize. Prije krize, jedino se volatilnost britanskog tržišta prelivala na sva ostala tržišta. [ABSTRACT FROM AUTHOR] |
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| قاعدة البيانات: |
Complementary Index |
