Frequency domain causality analysis of intra- and inter-regional return and volatility spillovers of South-East European (SEE) stock markets

References

• Aloui, R., Aïssa, M., & Nguyen, D. (2011). Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? Journal of Banking & Finance, 35(1), 130–141. doi:10.1016/j.jbankfin.2010.07.021
   Web of Science ®Google Scholar
• Aragό-Manzana, V., & Fernandez-Izquidero, M. A. (2007). Influence of structural changes in transmission of information between stock markets: A European empirical study. Journal of Multinational Financial Management, 17(2), 112–124. doi:10.1016/j.mulfin.2006.05.002
   Google Scholar
• Arouri, M., Jouini, J., & Nguyen, D. (2011). Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management. Journal of International Money and Finance, 30 (7), 1387–1405. doi:10.1016/j.jimonfin.2011.07.008
   Web of Science ®Google Scholar
• Beirne, J., Caporale, G. M., Schulze-Ghattas, M., & Spagnolo, N. (2010). Global and regional spillovers in emerging stock markets: A multivariate GARCH-in-mean analysis. Emerging Markets Review, 11(3), 250–260. doi:10.1016/j.ememar.2010.05.002
   Web of Science ®Google Scholar
• Bhatti, M. I., & Nguyen, C. C. (2012). Diversification evidence from international equity markets using extreme values and stochastic copulas. Journal of International Financial Markets, Institutions and Money, 22(3), 622–646. doi:10.1016/j.intfin.2012.02.004
   Web of Science ®Google Scholar
• Breitung, J., & Candelon, B. (2006). Testing for short- and long-run causality: A frequency-domain approach. Journal of Econometrics, 132(2), 363–378. doi:10.1016/j.jeconom.2005.02.004
   Web of Science ®Google Scholar
• Brooks, R., & Del Negro, M. (2004). The rise in comovement across national stock markets: Market integration or IT bubble? Journal of Empirical Finance, 11(5), 659–680. doi:10.1016/j.jempfin.2003.08.001
   Google Scholar
• Caporale, G. M., & Spagnolo, N. (2011). Stock market integration between three CEECs, Russia, and the UK. Review of International Economics, 19(1), 158–169. doi:10.1111/j.1467-9396.2010.00938.x
   Web of Science ®Google Scholar
• Conrad, C., & Lamla, M. J. (2010). The high-frequency response of the EUR-USD exchange rate to ECB communication. Journal of Money, Credit and Banking, 42(7), 1391–1417. doi:10.1111/j.1538-4616.2010.00346.x
   Web of Science ®Google Scholar
• Dajčman, S., & Festić, M. (2012). Interdependence between the Slovenian and European stock markets—A DCC-Garch analysis. Economic Research-Ekonomska Istraživanja, 25(2), 379–395. doi:10.1080/1331677X.2012.11517513
   Web of Science ®Google Scholar
• Dedi, L., & Škorjanec, D. (2017). Volatilities and equity market returns in selected Central and SouthEast European countries. Ekonomski Pregled, 68 (4), 384–398.
   Web of Science ®Google Scholar
• Dickey, D., & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49(4), 1057–1072. doi:10.2307/1912517
   Web of Science ®Google Scholar
• Do, H. Q., Bhatti, M. I., & Konya, L. (2016). On ASEAN capital market and industry integration: A review. Corporate Ownership and Control Journal, 2(1), 8–23. doi:10.22495/cocv13i2p1
   Google Scholar
• Égert, B., & Kočenda, E. (2007). Interdependence between Eastern and Western European stock markets: Evidence from intraday data. Economic Systems, 31(2), 184–203. doi:10.1016/j.ecosys.2006.12.004
   Google Scholar
• Égert, B., & Kočenda, E. (2011). Time-varying synchronization of European stock markets. Empirical Economics, 40(2), 393–407. doi:10.1007/s00181-010-0341-3
   Web of Science ®Google Scholar
• Elliott, G. (1999). Efficient tests for a unit root when the initial observation is drawn from its unconditional distribution. International Economic Review, 40(3), 767–783. www.jstor.org/stable/2648777.
   Web of Science ®Google Scholar
• Elliott, G., Rothenberg, T. J., & Stock, J. (1996). Efficient tests for an autoregressive unit root. Econometrica, 64(4), 813–836. doi:10.2307/2171846
   Web of Science ®Google Scholar
• Ferreira, P. (2018). What guides Central and Eastern European stock markets? A view from detrended methodologies. Post-Communist Economies, 30(6), 805–819. doi:10.1080/14631377.2018.1460155
   Web of Science ®Google Scholar
• Geweke, J. (1982). Measurement of linear dependence and feedback between multiple time series. Journal of the American Statistical Association, 77(378), 304–313. doi:10.2307/2287238
   Web of Science ®Google Scholar
• Gjika, D., & Horvath, R. (2013). Stock market comovements in Central Europe: Evidence from the asymmetric DCC model. Economic Modelling, 33, 55–64. doi:10.1016/j.econmod.2013.03.015
   Web of Science ®Google Scholar
• Granger, C. W. J. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37(3), 424–438. doi:10.2307/1912791
   Web of Science ®Google Scholar
• Grubel, H. (1968). Internationally diversified portfolios: Welfare gains and capital flows. The American Economic Review, 58 (5), 1299–1314.
   Web of Science ®Google Scholar
• Guidi, F., & Ugur, M. (2014). An analysis of South-Eastern European stock markets: Evidence on cointegration and portfolio diversification benefits. Journal of International Financial Markets, Institutions & Money, 30, 119–136. doi:10.1016/j.intfin.2014.01.007
   Web of Science ®Google Scholar
• Guimarães-Filho, R., & Hong, G. H. (2016). Dynamic connectedness of Asian equity markets, IMF Working Paper WP/16/57, Washington DC. Available online at: https://www.imf.org/external/pubs/ft/wp/2016/wp1657.pdf.
   Google Scholar
• Horvath, R., & Petrovski, D. (2013). International stock market integration: Central and South Eastern Europe compared. Economic Systems, 37(1), 81–91. doi:10.1016/j.ecosys.2012.07.004
   Web of Science ®Google Scholar
• Hosoya, Y. (1991). The decomposition and measurement of the interdependency between second-order stationary processes. Probability Theory and Related Fields, 88(4), 429–444. doi:10.1007/BF01192551
   Web of Science ®Google Scholar
• Jeong, J. (1999). Cross-border transmission of stock price volatility: Evidence from the overlapping trading hours. Global Finance Journal, 10(1), 53–70. doi:10.1016/S1044-0283(99)00005-8
   Google Scholar
• Kenourgios, D., & Samitas, A. (2011). Equity market integration in emerging Balkan markets. Research in International Business and Finance, 25(3), 296–307. doi:10.1016/j.ribaf.2011.02.004
   Google Scholar
• Khalifa, A. A. A., Hammoudeh, S., & Otranto, E. (2014). Patterns of volatility transmissions within regime switching across GCC and global markets. International Review of Economics & Finance, 29, 512–524. doi:10.1016/j.iref.2013.08.002
   Web of Science ®Google Scholar
• Kumar, S. (2016). Evidence of information transmission across currency futures markets using frequency domain tests. The North American Journal of Economics and Finance, 37, 319–327. doi:10.1016/j.najef.2016.05.010
   Web of Science ®Google Scholar
• Kwiatkowski, D., Phillips, P., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? Journal of Econometrics, 54(1–3), 159–178.
   Web of Science ®Google Scholar
• Latinović, M., Bogojevic Arsic, V., & Bulajic, M. (2018). Volatility spillover effect in Western Balkans. Acta Oeconomica, 68(1), 79–100. doi:10.1556/032.2018.68.1.4
   Web of Science ®Google Scholar
• Levy, H., & Sarnat, M. (1970). International diversification of investment portfolios. The American Economic Review, 60(4), 668–675.
   Web of Science ®Google Scholar
• Lin, W.-L., Engle, R. F., & Ito, T. (1994). Do bulls and bears move across borders? International transmission of stock returns and volatility. Review of Financial Studies, 7(3), 507–538. doi:10.1093/rfs/7.3.507
   Web of Science ®Google Scholar
• Mohammadi, H., & Tan, Y. (2015). Return and volatility spillover across equity markets in Mainland China, Hong Kong and the United States. Econometrics, 3(2), 215–232. doi:10.3390/econometrics3020215
   Web of Science ®Google Scholar
• Natarajan, V. K., Singh, A. R. R., & Priya, N. C. (2014). Examining mean volatility spillovers across national stock markets. Journal of Economics Finance and Administrative Science, 19(36), 55–62. doi:10.1016/j.jefas.2014.01.001
   Google Scholar
• Okičić, J. (2015). An Empirical analysis of stock returns and volatility: The case of stock markets from Central and Eastern Europe. South East European Journal of Economics and Business, 9(1), 7–15. doi:10.2478/jeb-2014-0005
   Google Scholar
• Phillips, P., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346. doi:10.2307/2336182
   Web of Science ®Google Scholar
• Reboredo, J., Tiwari, A. K., & Albulescu, C. T. (2015). An analysis of dependence between Central and Eastern European stock markets. Economic Systems, 39(3), 474–490. doi:10.1016/j.ecosys.2015.01.002
   Web of Science ®Google Scholar
• Ruch, F. (2013). The impact of international spillovers on the South African economy. South African Reserve Bank Working Paper, WP/13/02.
   Google Scholar
• Samarakoon, L. (2011). Stock market interdependence, contagion, and the U.S. financial crisis: The case of emerging and frontier markets. Journal of International Financial Markets, Institutions and Money, 21(5), 724–742. doi:10.1016/j.intfin.2011.05.001
   Web of Science ®Google Scholar
• Syriopoulos, T., & Roumpis, E. (2009). Dynamic correlations and volatility effects in the Balkan equity markets. Journal of International Financial Markets, Institutions & Money, 19(4), 565–587. doi:10.1016/j.intfin.2008.08.002
   Google Scholar
• Theodossiou, P., & Lee, U. (1993). Mean and volatility spillovers across major national stock markets: Further empirical evidence. Journal of Financial Research, 16(4), 337–350. doi:10.1111/j.1475-6803.1993.tb00152.x
   Web of Science ®Google Scholar
• Voronkova, S. (2004). Equity market integration in Central European emerging markets: A cointegration analysis with shifting regimes. International Review of Financial Analysis, 13(5), 633–647. doi:10.1016/j.irfa.2004.02.017
   Google Scholar