Transition equity markets of Central Europe: volatility, predictability, integration
type: CreativeWork
description: The objective of this thesis is to add evidence from the transition equity markets of Central Europe to the econometric modelling of financial time series by addressing the issues of volatility, predictability and international asset pricing in these markets. In Chapter Two we start from an overview of the transition stock markets by presenting their historical background, basic regulations, statistics, and stock market indices. Chapter Three focuses on the modelling of univariate and multivariate volatility in transition equity markets. Our sample has all the previously documented characteristics of the unconditional distribution of stock returns normally used to justify the use of the GARCH class of the models of conditional volatility. Strong GARCH effects are apparent in all series examined. The estimates of asymmetric models of conditional volatility show rather weak evidence of asymmetries in the markets. The results of the multivariate specifications of volatility have implication for understanding the pattern of information flow between the markets. The constant correlation specification indicates significant conditional correlation between three pairs of countries: Hungary and Poland, Hungary and Czech Republic, and Poland and Czech Republic. The BEKK model of multivariate volatility shows evidence of return volatility spillovers from Hungary to Poland, but no volatility spillover effects are found in the opposite direction. Chapter Four examines the linear and nonlinear predictability of transition equity returns with simple technical trading rules. The application of the moving average trading rules to the data reveals that technical analysis helps to predict stock price changes. Firstly buy signals consistently generate higher returns than sell signals; secondly the returns following buy signals are less volatile than returns following sell signals. The application of the bootstrap methodology to check whether three popular null models of stock returns w…
abstract: The objective of this thesis is to add evidence from the transition equity markets of Central Europe to the econometric modelling of financial time series by addressing the issues of volatility, predictability and international asset pricing in these markets. In Chapter Two we start from an overview of the transition stock markets by presenting their historical background, basic regulations, statistics, and stock market indices. Chapter Three focuses on the modelling of univariate and multivariate volatility in transition equity markets. Our sample has all the previously documented characteristics of the unconditional distribution of stock returns normally used to justify the use of the GARCH class of the models of conditional volatility. Strong GARCH effects are apparent in all series examined. The estimates of asymmetric models of conditional volatility show rather weak evidence of asymmetries in the markets. The results of the multivariate specifications of volatility have implication for understanding the pattern of information flow between the markets. The constant correlation specification indicates significant conditional correlation between three pairs of countries: Hungary and Poland, Hungary and Czech Republic, and Poland and Czech Republic. The BEKK model of multivariate volatility shows evidence of return volatility spillovers from Hungary to Poland, but no volatility spillover effects are found in the opposite direction. Chapter Four examines the linear and nonlinear predictability of transition equity returns with simple technical trading rules. The application of the moving average trading rules to the data reveals that technical analysis helps to predict stock price changes. Firstly buy signals consistently generate higher returns than sell signals; secondly the returns following buy signals are less volatile than returns following sell signals. The application of the bootstrap methodology to check whether three popular null models of stock returns w…
author: Kasch-Haroutounian, M.
keywords: HB Economic Theory
date published: 2000-09
date modified: 2026-07-24T01:39:08Z
provider: City University of London
publisher: Networked Digital Library of Theses and Dissertations
type: WebPage
source organization: City University London