Investigating international transmission patterns of stock price volatility

摘要

This paper aims to highlight international transmission patterns in order to identify dinamic inter-linkages in terms of stock price volatility. In recent past, stock markets have become increasingly interdependent due to global financial integration and international spillover effects. The empirical analysis is based on the daily closing prices of the USA, UK, Japan, France, Hungary, Poland, Romania and Slovakia major stock indices in order to compute the stock returns and to reveal the impact of correlations between developed and emerging stock markets. The empirical analysis is based on a mix of analytical techniques such as ARCH/GARCH models, ICV and DCV in order to obtain results in terms of different financial econometric approaches. The primary aim of this paper is to emphasize the key factor for inter-linkages between developed and emerging capital market, as well as the international transmission patterns from base side to step down. Empirical evidence provides an attractive investment perspective based on international portofolio diversification and risk management.