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Contagion of Capital Markets in CEE Countries: Evidence from Wavelet Analysis

Author

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  • Dumitru Nicuşor Cărăuşu
  • Bogdan Florin Filip
  • Elena Cigu
  • Carmen Toderaşcu

Abstract

We employed wavelets technology to investigate how and when contagion occurred on 10 Central and Eastern European financial markets in relation to Western European and US financial markets during 2000–2016 and their different reactions on the background of changes in their regulatory framework. We found that most of Central and Eastern European (CEE) capital markets showed contagion in relation to both Western European and US markets between 2005 and 2009, while Slovakian and Estonian markets showed no contagion. However, during 2010–2016, Croatian market showed de-contagion in relation to Western European market, while Bulgarian, Czech, Hungarian, and Polish markets showed de-contagion in relation to US market, increasing their independence.

Suggested Citation

  • Dumitru Nicuşor Cărăuşu & Bogdan Florin Filip & Elena Cigu & Carmen Toderaşcu, 2018. "Contagion of Capital Markets in CEE Countries: Evidence from Wavelet Analysis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(3), pages 618-641, February.
    • Handle: RePEc:mes:emfitr:v:54:y:2018:i:3:p:618-641
    DOI: 10.1080/1540496X.2017.1410129
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    Cited by:

    1. Lei Ming & Yao Shen & Shenggang Yang & Sangzhi Zhu & Hong Zhu, 2020. "Does Gold Serve as a Hedge for the Stock Market in China? Evidence from a Time-Frequency Analysis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 56(3), pages 659-672, February.
    2. Jasmina Ðuraškovic & Slavica Manic & Dejan Živkov, 2019. "Multiscale Volatility Transmission and Portfolio Construction Between the Baltic Stock Markets," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 69(2), pages 211-235, April.
    3. Constantin Gurdgiev & Conor O’Riordan, 2021. "A Wavelet Perspective of Crisis Contagion between Advanced Economies and the BRIC Markets," JRFM, MDPI, vol. 14(10), pages 1-29, October.
    4. Peter Arendas & Jana Kotlebova, 2019. "The Turn of the Month Effect on CEE Stock Markets," IJFS, MDPI, vol. 7(4), pages 1-19, October.
    5. Kregždė Arvydas & Kišonaitė Karolina, 2018. "Co-movements of Lithuanian and Central European Stock Markets Across Different Time Horizons: A Wavelet Approach," Ekonomika (Economics), Sciendo, vol. 97(2), pages 55-69, December.
    6. Cărăușu Dumitru-Nicușor, 2018. "Contagion and Comovement – Does the Initiator Matter," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 570-576, December.
    7. Kiss Gábor Dávid & Mészáros Mercédesz & Sallai Dóra, 2022. "Differences in Capital Market Network Structures under COVID-19," Acta Universitatis Sapientiae, Economics and Business, Sciendo, vol. 10(1), pages 15-28, September.

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