Differences of volatility behavior in sectorial indices: empirical evidence from the Baltic market

Abstract

Though the analysis o f volatility in stock returns lias a ric/i history, the focus in academic literature is usually being paicl to the general stock market indices or individual company’s returns missing more discussions on differences o f sectorial indices. This research considers volatility behavior using various tests and modeling techniąues in order to find distinctions between sectorial indices o f the Baltics. The results suggest that though the sectorial indices contain several, common for financial data, features, at the šame time, the differences o f characteristics and sensitivity to previous crisis are found to be significant. The ft n dings are useful not only for theoretical features o f financial data, būt also for practitioners who sėt sectorial limits for their portfolios (loans, investments, etc.).