Volatility Transmission from S&P 500 to the Bucharest Stock Exchange Indexes

Abstract

This paper approaches the volatility transmission from the New York Stock Exchange to an emerging market, Bucharest Stock Exchange. In our investigation we employ daily values of Standard and Poor 500 Index from New York Stock Exchange and of six main indexes from Bucharest Stock Exchange. The volatility transmission from Standard and Poor 500 to the Romanian capital markets indexes is revealed by a GARCH model. We perform our analysis for two periods: the first one, from January 2000 to December 2006 corresponds to the last stage of the Romania’s transition to a market economy, while the second, January 2007 to June 2014 was affected by the adhesion to European Union and by the global crisis. Our results suggest that the volatility transmission intensity increased from the first to the second period.