A study of spillovers of returns and volatilities and associated asymmetries in the Estonian stock market.

摘要

This thesis investigates if, and to what extent returns and volatility in the Estonian stock market are influenced by the returns and volatilities in international stock markets. The consolidated impact of world stock markets as well as the role of individual stock markets (Russia, Hungary, the Czech Republic, Poland, Finland, Sweden, the U.K. and the U.S.) on the Estonian stock market are studied by applying a VAR-EGARCH-based framework and using daily, weekly as well as monthly data from the period June 3rd, 1996 to June 30th, 2008. Attention is given to possible sign- and size-related asymmetries and structural breaks in the spillover of returns and volatility. The author finds robust evidence in support of the hypothesis of significant spillover of returns and volatility from the world stock markets into the Estonian stock market, and reveals also the market-specific asymmetries and structural breaks in the spillovers.