Frequency domain causality analysis of intra- and inter-regional return and volatility spillovers of South-East European (SEE) stock markets

ÖZER M., Kamenkovic S., Grubisic Z.

ECONOMIC RESEARCH-EKONOMSKA ISTRAZIVANJA, cilt.33, sa.1, ss.1-25, 2020 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 33 Sayı: 1
  • Basım Tarihi: 2020
  • Doi Numarası: 10.1080/1331677x.2019.1699138
  • Dergi Adı: ECONOMIC RESEARCH-EKONOMSKA ISTRAZIVANJA
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, ABI/INFORM, Business Source Elite, Business Source Premier, CAB Abstracts, Central & Eastern European Academic Source (CEEAS), EconLit, Geobase, INSPEC, Veterinary Science Database, Directory of Open Access Journals
  • Sayfa Sayıları: ss.1-25
  • Anahtar Kelimeler: Return and volatility spillovers, frequency domain causality, granger causality, South-East Europe, TIME-SERIES, UNIT-ROOT, FINANCIAL CRISIS, EFFICIENT TESTS, EQUITY MARKETS, DIVERSIFICATION, TRANSMISSION, INTERDEPENDENCE, INFORMATION, INTEGRATION
  • Anadolu Üniversitesi Adresli: Evet

Özet

In this study the return spillovers and volatility spillovers between South-East European (SEE) stock markets are investigated as well as vis-a-vis regional and global stock markets (e.g. Europe, Japan, China and the US). By using Frequency Domain Causality approach, the evidence is found of significant spillover effects between markets. The results of study indicate both short-and long-run intra- and inter-regional return and volatility spillovers detected between South-East European (SEE) stock markets and the emerging and the mature markets around the globe, implying limited diversification benefits for international investor portfolios allocated to these markets. Thus, these results should be taken into account by portfolio managers, investors and policy makers before making any investment decision into region's stock markets. The policy makers and regulators of these markets should consider the nature and frequency of regional and global integration of their stock markets.