Transmission of Shocks through Stock Markets Channel: The Case of the CEECs

Deltuvaitė, Vilma

doi:10.1016/s2212-5671(16)30326-4

Cited by 9 publications

(5 citation statements)

References 16 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…In 2007 and 2008, a significant increase in conditional correlations for all pairs was recorded. The results that showed an increase in stock market co-movements of the CEE-3 countries with the mature stock markets after EU accession are in line with the findings obtained by the authors of [10]. However, the conditional correlations between the stock market returns of CEE-3 countries and developed ones decreased after the end of the US sub-prime crisis.…”

Section: Resultssupporting

confidence: 89%

Givers or Recipients? Co-Movements between Stock Markets of CEE-3 and Developed Countries

Grabowski

2019

Sustainability

View full text Add to dashboard Cite

In this paper, time-varying co-movements between the stock markets of Poland, the Czech Republic, Hungary, and the capital markets of developed countries in stable and crisis periods are studied. The parameters of the VAR-AGDCC-GARCH (Vector Autoregressive- Asymmetric Generalized Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroscedasticity) model are estimated, and volatility spillovers are calculated. The evidence suggests that the level of correlation between stock return shocks of Central and Eastern European countries increased significantly in the period of financial turmoil and was high in the period of the US sub-prime crisis, as well as during the euro area sovereign debt crisis. After the announcement of the OMT (Outright Monetary Transactions) program, the evolution of the stock market indices in Central and Eastern Europe countries (CEECs) have followed different paths. An analysis of the volatility spillovers indicates that CEECs are the recipients of volatility. In the period of 2004–2019, they received much volatility—from Germany and the US, in particular. They also received much volatility from Spain during the euro area sovereign debt crisis. After 2012, volatility transmission to Poland, the Czech Republic, and Hungary dropped significantly.

show abstract

Section: Resultssupporting

confidence: 89%

Givers or Recipients? Co-Movements between Stock Markets of CEE-3 and Developed Countries

Grabowski

2019

Sustainability

View full text Add to dashboard Cite

show abstract

“…On the other hand, Niţoi and Pochea (2020) analyze time-varying dependence in European equity markets using a DCC-GARCH model and investigate the contagion effects and investor sentiment. The work by Deltuvaite (2016) also investigated spill-over effects from international stock markets to CEE, highlighting Polish, Czech and Hungarian markets with higher integration. The Greek debt crisis in late 2009 placed the Eurozone growth into negative territory.…”

Section: Literature Reviewmentioning

confidence: 99%

“…They document the long-term interdependencies among the exchanges in Germany, Austria, the Czech Republic, Hungary and Poland. The point of the spill-over effect from the major stock markets on the eleven CEE countries (Bulgaria, Czech Republic, Croatia, Estonia, Hungary, Latvia, Lithuania, Poland, Romania, Slovakia and Slovenia) was explored by Deltuvaite (2016) as well. The Polish, Czech and Hungarian stock markets showed the highest levels of global and regional integration due to their advanced financial system compared to the rest of the CEE countries.…”

Section: Literature Reviewmentioning

confidence: 99%

Spillover effects and transmission of shocks in Visegrad equity markets

Aliu,

Asero,

Asllani

et al. 2023

SEF

View full text Add to dashboard Cite

Purpose Paper aims to investigate the interdependencies and spillover effects that the Visegrad (V4 hereafter) Equity Markets hold on each other. The V4 group stands for the political alliance of four Central European countries: Poland, the Czech Republic, Hungary and Slovakia. Design/methodology/approach The study uses Wavelet coherence, dynamic conditional correlation GARCH (1, 1) and unrestricted vector autoregression (VAR) methodologies. Daily data series (covering the period from January 2, 2006, to February 2, 2023) are analyzed to assess coherence, time-varying conditional correlation and shock transmission among the V4 Equity Markets. Findings Wavelet analysis reveals that the Slovak equity market does not maintain coherence with three other equity markets. The time-varying conditional correlation documents for the high interdependence during the COVID-19 outbreak of the four indexes. The VAR estimates reveal that shocks in the Warsaw equity market are easily transmitted in Prague and Budapest exchanges but not in Bratislava. The results show that the Slovak equity market tends to be isolated from the influence of other three V4 exchanges. This isolation is attributed to its size, limited volume and adoption of the euro in 2009. The study emphasizes the Slovak financial system’s gravitation toward the Eurozone after euro adoption. Originality/value Notably, the findings provide important signals for local and international investors as the results cover four significant international shocks. The global meltdown of 2008/09, the Greek debt crisis of 2010/11, the COVID-19 pandemic and the Russia-Ukraine war.

show abstract

“…np. Cerny, Koblas, 2008;Chelley-Steeley, 2005;Demian, 2011;Deltuvaite, 2016;Egert, Kocenda, 2007Horvath, Petrovski, 2013;Li, Majerowska, 2008;Pietrzak i in. 2017;Reboredo, Tiwari, Albulescu, 2015;Savva, Aslanidis, 2010;Scheicher, 2001;Tilfani, Ferreira, El Boukfaoui, 2020;Voronkova, 2004;Vychytilova, 2018).…”

Section: Analiza Transmisji Zmiennościmentioning

confidence: 99%

Podatność rynków giełdowych krajów Grupy Wyszehradzkiej na niestabilności wewnętrzne i zewnętrzne

Grabowski

2021

View full text Add to dashboard Cite

show abstract

Transmission of Shocks through Stock Markets Channel: The Case of the CEECs

Cited by 9 publications

References 16 publications

Givers or Recipients? Co-Movements between Stock Markets of CEE-3 and Developed Countries

Givers or Recipients? Co-Movements between Stock Markets of CEE-3 and Developed Countries

Spillover effects and transmission of shocks in Visegrad equity markets

Podatność rynków giełdowych krajów Grupy Wyszehradzkiej na niestabilności wewnętrzne i zewnętrzne

Contact Info

Product

Resources

About