Comovement Dynamics between Central and Eastern European and Developed European Stock Markets during European Integration and Amid Financial Crises – A Wavelet Analysis

Dajčman, Silvo; Festić, Mejra; Kavkler, Alenka

doi:10.5755/j01.ee.23.1.1221

Cited by 31 publications

(20 citation statements)

References 39 publications

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“…The accession to the European Union has strengthened the linkage. Dajcman, Festic and Kavkler [12] showed that the Central and Eastern European (CEE) stock markets exhibited a lower degree of comovement between themselves and were less interdependent than European stock markets in the developed countries (France, the UK, Germany and Austria). Kizys and Pierdzioch [13] reported that long-run linkages between stock markets in CEE countries and the U.S. stock market intensified in both fundamentals and speculative bubbles during the financial crisis in 2008.…”

Section: Literature Surveymentioning

confidence: 99%

Effects of Fiscal Policy and Monetary Policy on the Stock Market in Poland

Hsing

2013

Economies

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Abstract:The focus of this paper is to examine potential impacts of fiscal and monetary policies on stock market performance in Poland. Applying the GARCH model and based on a sample during 1999.Q2 to 2012.Q4, this paper finds that Poland's stock market index is not affected by the ratio of government deficits or debt to GDP and is negatively influenced by the money market rate. The stock index and the ratio of M3 to GDP show a quadratic relationship with a critical value of 46.03%, suggesting that they have a positive relationship if the M3/GDP ratio is less than 46.03% and a negative relationship if the M3/GDP ratio is greater than 46.03%. Furthermore, Poland's stock index is positively associated with industrial production and stock market performance in Germany and the U.S. and negatively affected by the nominal effective exchange rate and the inflation rate.

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Section: Literature Surveymentioning

confidence: 99%

Effects of Fiscal Policy and Monetary Policy on the Stock Market in Poland

Hsing

2013

Economies

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“…Such political risk is included as a direct cost. Dajcman et al (2012) investigated the dynamics of stock market return comovements between individual Central and Eastern European countries and developed European stock markets in the period from 1997-2010. They analysed the time-varying dynamics of stock market comovements on a scale-by-scale basis, and they examined how major events (financial crises in the investigated time period and entrance to the European Union) affected the comovement of CEE stock markets with developed European stock markets.…”

Section: Review Of the Literaturementioning

confidence: 99%

Impact of Political Risk on Frontier Capital Market

Minović

Erić²

2016

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In this paper the impact of political risk on the movement of stock prices in the capital market of the Republic of Serbia is analysed. This is the market with a short history of trading, characterized by a high degree of volatility, with frequent and high jumps in prices. In addition, it is a very narrow and depth lacking market dominated by share trading in that period; the market where the trading in neither treasury, nor corporate bonds was well-developed. All stipulated above indicates a high degree of correlation between the stock price and the current local political events, with the exception of the financial crisis as a global factor. Serbian political shocks are frequent, unpredictable and well defined, which allows us to clearly identify political risk. We have identified the dates/periods when certain jumps in the volatility of the market index return happened, which were then brought into connection with the occurrence of appropriate political news. In that way we were able to quantify the effects of political events on the volatility of return. This is the first paper that deals with the impact of political risk on stock returns in Serbia. Additionally, it is shown that Serbia's score of political risk in December 2009 was the highest in the Eastern Europe region. In 2015 it is around regional Balkan's average, and it lies between Albanian and Macedonian score of political risk index.

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“…Other studies have used spectral and time-frequency analysis to assess CEE stock market comovements. Dajcman et al (2012), for instance, investigated the co-movements between developed and CEE stock markets in a wavelet framework, finding that the developed M a n u s c r i p t 7 European stock markets were more interdependent in the period under observation than the CEE stock markets. Using cross-wavelet analysis and high-frequency data, Barunik and Vacha (2013) found that CEE market connectedness to the leading market of the region was significantly lower at higher frequencies (in the short run), thus proving the absence of contagion.…”

Section: Demian (2011) Investigated the Impact Of European Union Accementioning

confidence: 99%