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

• Main Authors: WU, Chunchi, Tse, Y., Young, Allan
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2003
• 主題: GARCH; Spillover; Cointegration; Clustering; Heteroskedasticity; Business
• 在線閱讀: https://ink.library.smu.edu.sg/lkcsb_research/829
• 機構: Singapore Management University

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...