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Abstract

This paper investigates whether the daily stock returns of the Polish, Czech and Hungarian stock markets are covariance stationary. Using the Pagan – Schwert 1990 and Loretan – Phillips 1994 testing procedures, we show that contrary to the widely accepted assumption of covariance stationarity, the stock returns in Central and Eastern European CEE stock markets do not appear to be covariance stationary. Our results further suggest that the occurrence of unconditional volatility shifts appears to be synchronized across stocks.



Item Type: MPRA Paper -

Original Title: Testing the covariance stationarity of CEE stocks-

Language: English-

Keywords: covariance stationarity, unconditional volatility, volatility regimes, CEE stock markets-

Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C10 - GeneralG - Financial Economics > G1 - General Financial Markets > G15 - International Financial MarketsG - Financial Economics > G1 - General Financial Markets > G10 - General-





Author: Lyócsa, Štefan

Source: https://mpra.ub.uni-muenchen.de/43432/







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