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  • 1 Faculty of Economics and Law, University of Finance-Marketing, Ho Chi Minh City, Vietnam
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Abstract

This study investigates the transmission mechanism of price and volatility spillovers across the Budapest, Warsaw, Prague, Bucharest, and Zagreb stock markets in the pre- and post-financial crisis periods under the framework of the multivariate Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) model. By using daily closing prices, the results highlight certain interesting findings. I found evidence of price spillovers of the intraregional linkages among the stock price movements in five countries. This analysis shows the existence of bi-directional volatility spillovers between stock markets of the Czech Republic and Croatia in the pre-crisis period, and between Hungary and Romania in the post-crisis period. Also, there are significant volatility spillovers from Croatia to Poland and from Poland to the Czech Republic during two periods. The volatility is found to respond asymmetrically to innovations in other markets. The findings also indicate that the stock markets are more substantially integrated into crisis, as well as the persistence of volatility spillovers between the stock markets increases, and the financial stock markets become more integrated after the crisis period.

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Senior editors

Editor(s)-in-Chief: Prof. Dr. Mihályi, Péter

Editor(s): Ványai, Judit

Editorial Board

  • Ádám Török (Chairman) / University of Pannonia; Budapest University of Technology and Economics
  • Edina Berlinger / Corvinus University of Budapest, Department of Finance
  • Beáta Farkas / Faculty of Economics and Business Administration, University of Szeged
  • Péter Halmai / Budapest University of Technology and Economics; National University of Public Service
  • István Kónya / Institute of Economics Centre for Regional and Economic Studies, University of Pécs
  • János Köllő / Institute of Economics Centre for Regional and Economic Studies
  • István Magas / Corvinus University of Budapest, Department of World Economy; University of Physical Education, Department. of Sports and Decision Sciences
 

Advisory Board

  • Ǻslund, Anders, Institute of International Economics, Washington (USA)
  • Kolodko, Grzegorz, Kozminski University, Warsaw (Poland)
  • Mau, Vladimir, Academy of National Economy (Russia)
  • Messerlin, Patrick A, Groupe d’Economie Mondiale (France)
  • Saul Estrin, London School of Economics (UK)
  • Wagener, Hans-Jürgen, Europa Universität Viadrina (Germany)

Corvinus University of Budapest
Department of Economics
Fővám tér 8 Budapest, H-1093, Hungary

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2020  
Total Cites 275
WoS
Journal
Impact Factor
0,875
Rank by Economics 325/377 (Q4)
Impact Factor  
Impact Factor 0,534
without
Journal Self Cites
5 Year 0,500
Impact Factor
Journal  0,38
Citation Indicator  
Rank by Journal  Economics 347/549 (Q3)
Citation Indicator   
Citable 37
Items
Total 37
Articles
Total 0
Reviews
Scimago 13
H-index
Scimago 0,292
Journal Rank
Scimago Economics and Econometrics Q3
Quartile Score  
Scopus 225/166=1,4
Scite Score  
Scopus Economics and Econometrics 392/661 (Q3)
Scite Score Rank  
Scopus 0,668
SNIP  
Days from  289
submission  
to acceptance  
Days from  447
acceptance  
to publication  

2019  
Total Cites
WoS
212
Impact Factor 0,914
Impact Factor
without
Journal Self Cites
0,728
5 Year
Impact Factor
0,650
Immediacy
Index
0,156
Citable
Items
45
Total
Articles
45
Total
Reviews
0
Cited
Half-Life
3,9
Citing
Half-Life
9,5
Eigenfactor
Score
0,00015
Article Influence
Score
0,052
% Articles
in
Citable Items
100,00
Normalized
Eigenfactor
0,01891
Average
IF
Percentile
28,437
Scimago
H-index
12
Scimago
Journal Rank
0,439
Scopus
Scite Score
214/165=1,3
Scopus
Scite Score Rank
Economics and Econometrics 355/637 (Q3)
Scopus
SNIP
0,989

 

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Acta Oeconomica
Language English
Size B5
Year of
Foundation
1966
Publication
Programme
2021 Volume 71
Volumes
per Year
1
Issues
per Year
4
Founder Magyar Tudományos Akadémia
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Address
H-1051 Budapest, Hungary, Széchenyi István tér 9.
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Address
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Publisher
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ISSN 0001-6373 (Print)
ISSN 1588-2659 (Online)