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

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 drive...

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Main Authors: WU, Chunchi, Tse, Y., Young, Allan
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2003
Subjects:
GARCH
Spillover
Cointegration
Clustering
Heteroskedasticity
Business
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/829
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Institution: Singapore Management University
Language: English
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spelling sg-smu-ink.lkcsb_research-18282011-01-17T05:14:23Z Asymmetric Information Transmission between a Transition Economy and the U.S. Market: Evidence from the Warsaw Stock Exchange WU, Chunchi Tse, Y. Young, Allan 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 2003-01-01T08:00:00Z text https://ink.library.smu.edu.sg/lkcsb_research/829 info:doi/10.1016/j.gfj.2003.09.001 Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University GARCH Spillover Cointegration Clustering Heteroskedasticity Business
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic GARCH
Spillover
Cointegration
Clustering
Heteroskedasticity
Business
spellingShingle GARCH
Spillover
Cointegration
Clustering
Heteroskedasticity
Business
WU, Chunchi
Tse, Y.
Young, Allan
Asymmetric Information Transmission between a Transition Economy and the U.S. Market: Evidence from the Warsaw Stock Exchange
description 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
format text
author WU, Chunchi
Tse, Y.
Young, Allan
author_facet WU, Chunchi
Tse, Y.
Young, Allan
author_sort WU, Chunchi
title Asymmetric Information Transmission between a Transition Economy and the U.S. Market: Evidence from the Warsaw Stock Exchange
title_short Asymmetric Information Transmission between a Transition Economy and the U.S. Market: Evidence from the Warsaw Stock Exchange
title_full Asymmetric Information Transmission between a Transition Economy and the U.S. Market: Evidence from the Warsaw Stock Exchange
title_fullStr Asymmetric Information Transmission between a Transition Economy and the U.S. Market: Evidence from the Warsaw Stock Exchange
title_full_unstemmed Asymmetric Information Transmission between a Transition Economy and the U.S. Market: Evidence from the Warsaw Stock Exchange
title_sort asymmetric information transmission between a transition economy and the u.s. market: evidence from the warsaw stock exchange
publisher Institutional Knowledge at Singapore Management University
publishDate 2003
url https://ink.library.smu.edu.sg/lkcsb_research/829
_version_ 1770569711376924672

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