Impact of Global Financial Crisis and Euro‐zone Crisis on the Linkages of the Central and Eastern European Stock Markets
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Focusing on the impact of global financial crisis and Euro‐zone crisis, this paper investigates the question of linkages between the stock markets of CEE countries including Russia, Poland, Czech, Hungary, and Bulgaria. The data used are the daily rate of returns on the stock market indices of the five CEE countries as well as the U.S. and Germany for the period from July 1, 2006 to June 30, 2012. The main results are summarized as follow. First, there were significant changes in the stock return patterns during the crisis in CEE countries by observing decrease in mean return, increase in volatility, increase in skewness, and increase in kurtosis. Second, during global financial crisis period, the comovement of CEE markets noticeably increases with increase in the U.S. influence. During Euro‐zone crisis period, the comovement of CEE markets remains in the increased level. However, the correlations of CEE markets with Germany strengthen further during Euro‐zone crisis period while their correlations with the U.S. market weaken after the global financial crisis. Third, both the U.S. and German markets consistently have a significant impact on market returns of CEE countries. However, the U.S. influence on the markets of CEE countries weakens during Euro‐zone crisis period whereas the German market consistently have a significant impact. These results confirm the association between the degree of dependence of equity markets and the economic linkages.
Abstract
Focusing on the impact of global financial crisis and Euro‐zone crisis, this paper investigates the question of linkages between the stock markets of CEE countries including Russia, Poland, Czech, Hungary, and Bulgaria. The data used are the daily rate of returns on the stock market indices of the five CEE countries as well as the U.S. and Germany for the period from July 1, 2006 to June 30, 2012. The main results are summarized as follow. First, there were significant changes in the stock return patterns during the crisis in CEE countries by observing decrease in mean return, increase in volatility, increase in skewness, and increase in kurtosis. Second, during global financial crisis period, the comovement of CEE markets noticeably increases with increase in the U.S. influence. During Euro‐zone crisis period, the comovement of CEE markets remains in the increased level. However, the correlations of CEE markets with Germany strengthen further during Euro‐zone crisis period while their correlations with the U.S. market weaken after the global financial crisis. Third, both the U.S. and German markets consistently have a significant impact on market returns of CEE countries. However, the U.S. influence on the markets of CEE countries weakens during Euro‐zone crisis period whereas the German market consistently have a significant impact. These results confirm the association between the degree of dependence of equity markets and the economic linkages.
참고문헌 (15)
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