Time-varying betas in Central and Eastern European markets: a bivariate BEKK GARCH approach
by Sorin Gabriel Anton; Marie Ochem
International Journal of Economic Policy in Emerging Economies (IJEPEE), Vol. 6, No. 2, 2013

Abstract: In this paper, we analyse country risk of eight Central and Eastern European (CEE) countries by calculating time-varying betas. We have used daily closing prices of indices from 3 June 2002 through 2 December 2011, resulting in 2021 observations. The time-varying betas where calculated by applying multivariate GARCH BEKK models under multivariate normal distribution of errors. Results indicate that BEKK models are appropriate on estimating time-varying beta for Czech Republic, Hungary, Estonia, Lithuania, Poland, Romania, and Russia, except for Latvia. Moreover, the behaviour of time-varying betas during the crisis differs between CEE markets. Countries with flat exchange rates seem to eliminate some of the country risk. For Romania and Hungary, time-varying beta increase was eliminated due to assistance of the International Monetary Fund during the crisis.

Online publication date: Sat, 28-Jun-2014

The full text of this article is only available to individual subscribers or to users at subscribing institutions.

 
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Economic Policy in Emerging Economies (IJEPEE):
Login with your Inderscience username and password:

Username:        Password:          Forgotten your password?

Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

If you still need assistance, please email subs@inderscience.com