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| Description
| - This paper deals with asymmetric impact and response of stock market volatility to external shocks. In this paper the effects of positive and negative shocks on volatility of emerging and developed stock markets using asymmetric conditional volatility models are investigated for the data set covering period of 2004-2012 years. A special aim of this paper is to compare behavior of investigated markets before, during and after global financial crisis. Commonly used asymmetric volatility models, i. e. EGARCH and TGARCH models were applied. In addition, we constructed the news impact functions to study asymmetric impact of news on volatility under asymmetric ARCH family models. Emerging stock markets are represented by Czech and Polish equity markets. As a proxy to the Czech and Polish stock markets the PX and WIG20 indexes were used. The developed stock markets were represented by U.S. index S&P500 and British index FTSE100. We found that asymmetric ARCH family models with Student’s t distributed errors provide a better description for the conditional volatility than Gaussian distributed errors. Leverage effect was confirmed in almost all analyzed markets during all periods with highest values reached during the global financial crisis period. An exception is Polish stock market in pre-crisis period and Czech stock market during post-crises period when the leverage effect was not statistically significant.
- This paper deals with asymmetric impact and response of stock market volatility to external shocks. In this paper the effects of positive and negative shocks on volatility of emerging and developed stock markets using asymmetric conditional volatility models are investigated for the data set covering period of 2004-2012 years. A special aim of this paper is to compare behavior of investigated markets before, during and after global financial crisis. Commonly used asymmetric volatility models, i. e. EGARCH and TGARCH models were applied. In addition, we constructed the news impact functions to study asymmetric impact of news on volatility under asymmetric ARCH family models. Emerging stock markets are represented by Czech and Polish equity markets. As a proxy to the Czech and Polish stock markets the PX and WIG20 indexes were used. The developed stock markets were represented by U.S. index S&P500 and British index FTSE100. We found that asymmetric ARCH family models with Student’s t distributed errors provide a better description for the conditional volatility than Gaussian distributed errors. Leverage effect was confirmed in almost all analyzed markets during all periods with highest values reached during the global financial crisis period. An exception is Polish stock market in pre-crisis period and Czech stock market during post-crises period when the leverage effect was not statistically significant. (en)
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| Title
| - ASYMMETRIC IMPACT OF SHOCKS ON FINANCIAL MARKET VOLATILITY: COMPARISON OF EMERGING AND DEVELOPED STOCK MARKETS
- ASYMMETRIC IMPACT OF SHOCKS ON FINANCIAL MARKET VOLATILITY: COMPARISON OF EMERGING AND DEVELOPED STOCK MARKETS (en)
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| skos:prefLabel
| - ASYMMETRIC IMPACT OF SHOCKS ON FINANCIAL MARKET VOLATILITY: COMPARISON OF EMERGING AND DEVELOPED STOCK MARKETS
- ASYMMETRIC IMPACT OF SHOCKS ON FINANCIAL MARKET VOLATILITY: COMPARISON OF EMERGING AND DEVELOPED STOCK MARKETS (en)
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| skos:notation
| - RIV/61989100:27510/13:86086785!RIV14-GA0-27510___
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| http://linked.open...avai/predkladatel
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| http://linked.open...avai/riv/aktivita
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| http://linked.open...avai/riv/aktivity
| - P(EE2.3.20.0296), P(GA13-13142S)
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| http://linked.open...vai/riv/dodaniDat
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| http://linked.open...aciTvurceVysledku
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| http://linked.open.../riv/druhVysledku
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| http://linked.open...iv/duvernostUdaju
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| http://linked.open...titaPredkladatele
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| http://linked.open...dnocenehoVysledku
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| http://linked.open...ai/riv/idVysledku
| - RIV/61989100:27510/13:86086785
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| http://linked.open...riv/jazykVysledku
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| http://linked.open.../riv/klicovaSlova
| - conditional volatility, global financial crisis, leverage effect, news impact curve, stock market (en)
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| http://linked.open.../riv/klicoveSlovo
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| http://linked.open...ontrolniKodProRIV
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| http://linked.open...v/mistoKonaniAkce
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| http://linked.open...i/riv/mistoVydani
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| http://linked.open...i/riv/nazevZdroje
| - Finance and the Performance of Firms in Science, Education and Practice : proceedings of the 6th international scientific conference : April 25-26, 2013, Zlín, Czech Republic
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| http://linked.open...in/vavai/riv/obor
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| http://linked.open...ichTvurcuVysledku
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| http://linked.open...cetTvurcuVysledku
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| http://linked.open...vavai/riv/projekt
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| http://linked.open...UplatneniVysledku
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| http://linked.open...iv/tvurceVysledku
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| http://linked.open...vavai/riv/typAkce
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| http://linked.open...ain/vavai/riv/wos
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| http://linked.open.../riv/zahajeniAkce
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| number of pages
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| http://purl.org/ne...btex#hasPublisher
| - Univerzita Tomáše Bati ve Zlíně
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| https://schema.org/isbn
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| http://localhost/t...ganizacniJednotka
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