Connectedness structures of sovereign bond markets in Central and Eastern Europe

Karkowska, Renata; Urjasz, Szczepan

doi:10.1016/j.irfa.2020.101644

Cited by 33 publications

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“…Keeping this in mind, the risk transfer structure may be different for these two regions. Our previous research confirms this relationship [ 5 ]. Our interest in that group of countries stems from several insights.…”

Section: Introductionsupporting

confidence: 87%

Linear and Nonlinear Effects in Connectedness Structure: Comparison between European Stock Markets

Karkowska

Urjasz

2022

Entropy

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The purpose of this research is to compare the risk transfer structure in Central and Eastern European and Western European stock markets during the 2007–2009 financial crisis and the COVID-19 pandemic. Similar to the global financial crisis (GFC), the spread of coronavirus (COVID-19) created a significant level of risk, causing investors to suffer losses in a very short period of time. We use a variety of methods, including nonstandard like mutual information and transfer entropy. The results that we obtained indicate that there are significant nonlinear correlations in the capital markets that can be practically applied for investment portfolio optimization. From an investor perspective, our findings suggest that in the wake of global crisis and pandemic outbreak, the benefits of diversification will be limited by the transfer of funds between developed and developing country markets. Our study provides an insight into the risk transfer theory in developed and emerging markets as well as a cutting-edge methodology designed for analyzing the connectedness of markets. We contribute to the studies which have examined the different stock markets’ response to different turbulences. The study confirms that specific market effects can still play a significant role because of the interconnection of different sectors of the global economy.

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Section: Introductionsupporting

confidence: 87%

Linear and Nonlinear Effects in Connectedness Structure: Comparison between European Stock Markets

Karkowska

Urjasz

2022

Entropy

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“…(2020) consider the connectedness between COVID-19 and global foreign exchange markets. Karkowska and Urjasz (2021) examine the connectedness structures of sovereign bond markets in central and eastern Europe.…”

Section: Introductionmentioning

confidence: 99%

Sectoral connectedness: New evidence from US stock market during COVID-19 pandemics

Costa¹,

Matos²,

Silva

2022

Finance Research Letters

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“…The motivation behind the implementation of DY approach comes from the following reasons. First, the popularity of this method is far reaching because of its widespread empirical applications, most especially in analyzing financial assets markets (Antonakakis & Vergos, 2013 ; Balli et al, 2022 ; Chevallier & Ielpo, 2013 ; Cronin, 2014 ; Diebold & Yilmaz, 2012 ; Gao et al, 2021 ; Karkowska & Urjasz, 2021 ; Klößner & Sekkel, 2014 ; Klößner & Wagner, 2014 ; Kumar, 2013 ; Lin & Chen, 2021 ; Rout, 2020 ; Rout & Mallick, 2020a , 2020b , 2021 ). Second, the DY approach provides many motivating components; for instance, it can measure dependency between asset portfolios.…”

Section: Methodsmentioning

confidence: 99%

“…The financial crisis leads to a more significant decrease in the magnitude of spillovers within peripheral than within major countries in the EU. Karkowska and Urjasz ( 2021 ) stated that Central and Eastern Europe (CEE) countries’ sovereign bond markets are more intertwined than global markets. Recently, employing sovereign bond yield data from 17 European countries, Pang et al ( 2021 ) pointed out that mean correlation decreased during the pandemic.…”

Section: Literature Surveymentioning

confidence: 99%

“…Apart from these studies, there are also a few extant literatures that rest on analyzing cross-border sovereign bond markets spillover/connectivity (Ahmad et al, 2018 ; Cronin & Dunne, 2019 ; Claeys & Vasicek, 2012 , 2019 ; Fernandez-Rodriguez et al, 2016 ; Antonakakis & Vergos, 2013 ; Tule et al, 2017 ; Sowmya et al, 2016 ; Yang & Hamori, 2015 ; Sensoy et al, 2017 ; Asutay & Hakim, 2018 ; Chen et al, 2020 ; Gao et al, 2021 ; Umar et al, 2021 ; Karkowska & Urjasz, 2021 ; Balli et al, 2022 ). However, many of these studies dealt with sovereign bond market spillover/connectivity, particularly among the erstwhile advanced countries of Europe.…”

Section: Introductionmentioning

confidence: 99%

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Sovereign Bond Market Shock Spillover Over Different Maturities: A Journey from Normal to Covid-19 Period

Rout

Mallick

2022

Asia-Pac Financ Markets

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With application of Diebold and Yilmaz’s (Int J Forecast 28(1):57–66, 2012) spillover approach, we examine shock spillover in international sovereign bond yields over short, medium, and long term maturities for major eight economies. By scrutinizing the data from 1st January 2013 to 12th November 2020, we explored that irrespective of pre-covid-19 or covid-19 period, shock spillover in bond yields across markets are much stronger over long and medium maturities relative to short-term maturity. Moreover, shock spillover of bond yields has amplified manifold during Covid-19, irrespective of their maturities compared to pre-Covid-19 period. The magnitude of shock spillovers remains low with short-term maturity. Assessing the relationship between international sovereign bond markets (SBMs) contributes to our understanding and is also crucial to the investors (both domestic and foreign) in investing in SBMs.

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Connectedness structures of sovereign bond markets in Central and Eastern Europe

Cited by 33 publications

References 50 publications

Linear and Nonlinear Effects in Connectedness Structure: Comparison between European Stock Markets

Linear and Nonlinear Effects in Connectedness Structure: Comparison between European Stock Markets

Sectoral connectedness: New evidence from US stock market during COVID-19 pandemics

Sovereign Bond Market Shock Spillover Over Different Maturities: A Journey from Normal to Covid-19 Period

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