Abstract
The impact of news of the Moscow and New York stock market exchanges on the returns and volatilities of the Baltic state stock market indices is studied using daily return data for the period of 2000-2005. A nonlinear time series model that accounts for asymmetries in the conditional mean and variance functions is used for the empirical work. News from New York have stronger effect on returns in Tallinn, than news from Moscow. High risk shocks in New York have a strong impact on volatility in Tallinn, whereas volatility of Vilnius is more influenced by high risk shocks from Moscow. Riga seems to be autonomous to news arriving from abroad.
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