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The Effect Of The Financial Crisis On The Returns Of The Cee Capital Markets

Author

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  • Daniel Stefan ARMEANU
  • Adrian ENCIU
  • Carmen OBREJA
  • Sorin-Iulian CIOACA

Abstract

In this article, we study the impact on return and volatility of CEE capital markets during three crises (subprime crisis, global financial crisis and the crisis generated by Brexit), occurred between January, 1st 2007 – August, 26th, 20016, taking into consideration the daily returns of the stock exchange indexes for 5 CEE countries. In order to reduce the initial causal space, represented by the returns on CEE markets, we used the Principal Component Analysis (PCA). A principal component was identified and placed within a AR(2)-GARCH(1,1) model for return and associated volatility. The results show that the volatility during the global crisis and that related to the Brexit moment are statistically significant, but they present different coefficients: the volatility boosted during the global financial crisis and lowered after the Brexit announcement. This late result can be explained by the prudent stance of the investors who are concerned to evaluate the impact of the Brexit and the consequences for the financial markets of the associated measures.

Suggested Citation

  • Daniel Stefan ARMEANU & Adrian ENCIU & Carmen OBREJA & Sorin-Iulian CIOACA, 2016. "The Effect Of The Financial Crisis On The Returns Of The Cee Capital Markets," Proceedings of the INTERNATIONAL MANAGEMENT CONFERENCE, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 10(1), pages 474-481, November.
    • Handle: RePEc:rom:mancon:v:10:y:2016:i:1:p:474-481
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    Cited by:

    1. 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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