Shock And Volatility Transmissions Between Bank Stock Returns In Romania: Evidence From A VAR-GARCH Approach

Abstract

We develop a VAR-GARCH approach to investigate shock and volatility transmissions between bank stock returns in Romania during the 2007-2009 international financial crisis. Our findings provide evidence of significant shock and volatility transmissions between Romanian bank returns. We also show how our empirical results can be used to build effective diversification and hedging strategies.