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Shock and Volatility Transmissions between Bank Stock Returns in Romania: Evidence from a VARGARCH Approach

We develop a VAR-GRACH approach to invesigate shock and volatility transmissions between bank stock returns in Romania during the 2007-2009 international financial crisis.Our findings provide eveidence of significant shock and volatility transmissions between Romanian bank returns.We also show how our empirical results can be used to build effective diversification and hedging strategies.
Year of publication:
2014-02-12
Authors: Chaibi, Anissa ; Ulici, Maria
Institutions: Institut de Préparation à l'Administration et à la Gestion (IPAG)
Subject: Shock and volatility transmission | financial crisis | Romanian banks
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Notes:
Number 2014-095 12 pages
Classification: G1 - General Financial Markets ; G2 - Financial Institutions and Services ; P2 - Socialist Systems and Transitional Economies
Source:
Persistent link: https://www.econbiz.de/10010754708
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