Stock market contagion in Central and Eastern Europe: unexpected volatility and extreme co-exceedance
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F18%3A10363593" target="_blank" >RIV/00216208:11230/18:10363593 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1080/1351847X.2017.1307773" target="_blank" >http://dx.doi.org/10.1080/1351847X.2017.1307773</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1080/1351847X.2017.1307773" target="_blank" >10.1080/1351847X.2017.1307773</a>
Alternative languages
Result language
angličtina
Original language name
Stock market contagion in Central and Eastern Europe: unexpected volatility and extreme co-exceedance
Original language description
We examine whether there is contagion from the US stock market to six Central and Eastern European stock markets. We use a novel measure of contagion that examines whether volatility shocks in the US stock market coupled with negative returns are followed by higher co-exceedance between US and emerging stock markets. Using our approach and controlling for a set of market-related variables, we show that during the period from 1998 to 2014, financial contagion occurred, that is, unexpected negative events in the US market are followed by higher co-exceedance between US and Central and Eastern European stock markets. Even though contagion is stronger during the financial crisis, it also occurs in tranquil times.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50201 - Economic Theory
Result continuities
Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
European Journal of Finance
ISSN
1351-847X
e-ISSN
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Volume of the periodical
24
Issue of the periodical within the volume
5
Country of publishing house
GB - UNITED KINGDOM
Number of pages
22
Pages from-to
391-412
UT code for WoS article
000427757700002
EID of the result in the Scopus database
2-s2.0-85017032487