Abstract
The impact of news from the Moscow and New York stock exchanges on the daily returns and volatilities of Baltic stock market indices is studied. A nonlinear time series model that accounts for asymmetries in conditional mean and variance functions is used for the empirical work. News from New York has stronger effects on returns in Tallinn than news from Moscow. High-risk shocks in New York have a stronger impact on volatility in Tallinn, whereas volatility in Vilnius is more influenced by high-risk shocks from Moscow. Riga seems not to be affected by news arriving from abroad.
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