Asymmetric Information Transmission between a Transition Economy and the U.S. Market: Evidence from the Warsaw Stock Exchange
We investigate the international information transmission between the U.S. and Polish stock markets using daily return data from the S&P 500 Index and the Warszawski Indeks Gieldowy (WIG). The results show no volatility spillover between these two markets and that these two markets are not driven by a long-run common trend. However, there is a mean spillover running from the U.S. to the Warsaw Stock Exchange (WSE) in the EGARCH model. There is weak evidence of short-run influence of the U.S. market on the performance of the WSE. By contrast, the WSE has virtually no influence on the U.S. market
GARCH, Spillover, Cointegration, Clustering, Heteroskedasticity
Global Finance Journal
WU, Chunchi; Tse, Y.; and Young, Allan.
Asymmetric Information Transmission between a Transition Economy and the U.S. Market: Evidence from the Warsaw Stock Exchange. (2003). Global Finance Journal. 14, (3), 319-332. Research Collection Lee Kong Chian School Of Business.
Available at: http://ink.library.smu.edu.sg/lkcsb_research/829