Stock market contagion in Central and Eastern Europe: unexpected volatility and extreme co-exceedance

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Stock market contagion in Central and Eastern Europe: unexpected volatility and extreme co-exceedance

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Stock market contagion in Central and Eastern Europe: unexpected volatility and extreme co-exceedance

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50201 - Economic Theory

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2018

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

European Journal of Finance

ISSN

1351-847X

e-ISSN

—

Svazek periodika

24

Číslo periodika v rámci svazku

5

Stát vydavatele periodika

GB - Spojené království Velké Británie a Severního Irska

Počet stran výsledku

22

Strana od-do

391-412

Kód UT WoS článku

000427757700002

EID výsledku v databázi Scopus

2-s2.0-85017032487