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

Main Article Content

Maria Ulici
Anissa Chaibi
Christophe Rault


Shock and Volatility Transmission, Financial Crisis, Romanian Banks


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.


Download data is not yet available.
Abstract 254 | PDF Downloads 288

Most read articles by the same author(s)