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The Financial Crisis’ Impact on the Central and Eastern Europe Capital Markets

Author

Listed:
  • Daniel Stefan ARMEANU

    (Bucharest University of Economic Studies, Romania)

  • Adrian ENCIU

    (Bucharest University of Economic Studies, Romania)

  • Carmen OBREJA

    (Bucharest University of Economic Studies, Romania)

  • Sorin-Iulian CIOACÃ

    (Bucharest University of Economic Studies, Romania)

Abstract

We study the impact on return and volatility of 8 capital markets (Bulgaria, Czech Republic, France, Germany, Hungary, Poland, Romania and US) during three crisis (subprime crisis, global financial crisis and Brexit), that occurred in January, 1st 2007 – August, 26th, 2016 time frame. In order to reduce the initial causal space represented by the returns on CEE markets, we used the Principal Component Analysis. One 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 CIOACÃ, 2016. "The Financial Crisis’ Impact on the Central and Eastern Europe Capital Markets," REVISTA DE MANAGEMENT COMPARAT INTERNATIONAL/REVIEW OF INTERNATIONAL COMPARATIVE MANAGEMENT, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 17(5), pages 420-431, December.
    • Handle: RePEc:rom:rmcimn:v:17:y:2016:i:5:p:420-431
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    References listed on IDEAS

    as
    1. Daniel ARMEANU & Cristina Andreea DOIA & Melania HANCILA & Sorin CIOACA, 2013. "The Analysis of the Correlation Intensity Between Emerging Market During Economic Crisis," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 61(2), pages 307-318, May.
    2. Dan ARMEANU & Sorin-Iulian CIOACA & Ana TUDORACHE & Ana-Maria BURCA, 2012. "Financial Crisis Impact On The Development Of The Romanian Capital Market," Internal Auditing and Risk Management, Athenaeum University of Bucharest, vol. 1(26), pages 54-62, March.
    3. Daniel Stefan ARMEANU & Carmen Emilia PASCAL & Sorin-Iulian CIOACA, 2014. "Managing Contagion Risk During Economic, Financial And Political Shocks," Proceedings of the INTERNATIONAL MANAGEMENT CONFERENCE, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 8(1), pages 1148-1157, November.
    4. Roberto Rigobon, 2002. "Contagion: How to Measure It?," NBER Chapters, in: Preventing Currency Crises in Emerging Markets, pages 269-334, National Bureau of Economic Research, Inc.
    5. Kristin J. Forbes & Roberto Rigobon, 2002. "No Contagion, Only Interdependence: Measuring Stock Market Comovements," Journal of Finance, American Finance Association, vol. 57(5), pages 2223-2261, October.
    6. Marais, E. & Bates, S., 2006. "An empirical study to identify shift contagion during the Asian crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(5), pages 468-479, December.
    7. Dornbusch, Rudiger & Park, Yung Chul & Claessens, Stijn, 2000. "Contagion: Understanding How It Spreads," The World Bank Research Observer, World Bank, vol. 15(2), pages 177-197, August.
    8. repec:dau:papers:123456789/272 is not listed on IDEAS
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    Cited by:

    1. Adrian Enciu & Sorin-Iulian Cioaca, 2017. "Is The Capital Market Important For The Economic Growth In The Eu?," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 315-324, July.

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    More about this item

    Keywords

    capital market; contagion risk; crisis; volatility; principal component.;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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