Title

Asymmetric Information Transmission between a Transition Economy and the U.S. Market: Evidence from the Warsaw Stock Exchange

Publication Type

Journal Article

Publication Date

2003

Abstract

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

Keywords

GARCH, Spillover, Cointegration, Clustering, Heteroskedasticity

Discipline

Business

Research Areas

Finance

Publication

Global Finance Journal

Volume

14

Issue

3

First Page

319

Last Page

332

ISSN

1044-0283

Identifier

10.1016/j.gfj.2003.09.001

Publisher

Elsevier