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Spillover Effects of Stock Markets in the COVID-19 Pandemic Period: Evidence From Central and East European Countries

Author

Listed:
  • Selma Öner

    (Istanbul University-Cerrahpasa, Social Sciences Finance-Banking and Insurance, Istanbul, Turkiye)

  • Hakan Öner

    (Nisantasi University, Faculty of Economics, Administrative and Social Sciences, Istanbul, Turkiye)

  • Hande Kılıç Satıcı

    (Istanbul University-Cerrahpasa, Social Sciences Finance-Banking and Insurance, Istanbul, Turkiye)

Abstract

This study aims to investigate the correlation and the spillover effects between Central and East European (CEE) Countries’ stock markets during the Covid-19 Pandemic Period. CEE countries are listed as Bulgaria, Croatia, the Czech Republic, Hungary, Poland, Romania, the Slovak Republic, Slovenia, Estonia, Latvia, and Lithuania by OECD. The data set was obtained from the Bloomberg data services and includes 308 observations of daily returns between March 11th, 2020 and August 1st, 2021. As a result of the empirical analysis using the Pearson Correlation, the Multivariate VAR Model, and the Granger Causality Test, a high correlation was found between the stock markets of CEE countries, and 15 causality relationships were determined. The analysis also revealed bidirectional relationships between the Bulgaria Stock Exchange Index and Romania Bucharest Stock Exchange Index, the Polish Warsaw Stock Exchange Index and Croatia Zagreb Stock Exchange Index, the Romania Bucharest Stock Exchange Index and Bulgaria Stock Exchange Index, and the Croatia Zagreb Stock Exchange Index and Polish Warsaw Stock Exchange Index. High correlation and causality relationships, which are also supported by impulse-response and variance decomposition test results, reveal that there is a spillover effect between the stock markets of CEE countries.

Suggested Citation

  • Selma Öner & Hakan Öner & Hande Kılıç Satıcı, 2022. "Spillover Effects of Stock Markets in the COVID-19 Pandemic Period: Evidence From Central and East European Countries," Istanbul Journal of Economics-Istanbul Iktisat Dergisi, Istanbul University, Faculty of Economics, vol. 72(72-1), pages 211-238, June.
    • Handle: RePEc:ist:journl:v:72:y:2022:i:1:p:211-238
    DOI: 10.26650/ISTJECON2021-994570
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    References listed on IDEAS

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    Cited by:

    1. Kedžo Margareta Gardijan, 2022. "COVID-19 pandemic impact on investment prospective in selected CEE stock markets: A stochastic dominance approach," Croatian Review of Economic, Business and Social Statistics, Sciendo, vol. 8(2), pages 28-42, December.

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    More about this item

    Keywords

    Stock markets; Pearson correlation; Granger causality test; COVID-19 pandemic period; CEE countries JEL Classification: C58 ; F30 ; F31;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F30 - International Economics - - International Finance - - - General
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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