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Volatilities and equity market returns in selected Central and Southeast European countries

This paper investigates co-movements of equity returns, volatility persistence and spillovers in selected Central and Southeast European countries, the countries of former Yugoslavia: Croatia, Bosnia and Herzegovina, Macedonia, Montenegro, Serbia and Slovenia during the period of 2011-2017. Multivariate Auto Regressive Moving Average (MARMA) and the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models are utilized to daily returns of the stock indices. The results of the analysis provide the evidence of significant co-movements of returns and volatility spillovers among selected markets. The findings indicate that in Slovenian, Macedonian and Serbian markets volatility reacts intensely to market movements, whereby volatilities persist very long in Bosnia and Herzegovina, and in Montenegro. From the viewpoint of volatility transmission the findings also indicate enough elements for closer and intense collaboration between selected markets.

co-movements of returns, stock indices, volatility persistence, volatility spillovers, GARCH

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