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Stock market stability on selected CEE and SEE markets: a quantile regression approach

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  • Tihana Škrinjarić

Abstract

Financial market stability has been a hot topic in the last decade due to its importance for both policymakers and international investors. However, formal testing of this phenomenon and its consequences is still insufficient. This is especially true for the Central and Eastern European (CEE), as well as South and Eastern European (SEE) markets, which are the focus of this research. The results of this research indicate that Serbian, Hungarian, Bulgarian, Croatian, Slovenian, Romanian and Ukrainian stock markets respond more to the systematic shocks in the SEE index compared to CEE. The opposite is true for the Czech and Polish markets. Since the stability was confirmed for the Bosnian, Bulgarian and Slovenian markets for the SEE regional index and for the Bulgarian, Slovenian and Slovak markets for the CEE regional index; these results could be exploited by policymakers in a way that they should focus more on the country-specific shocks and how to deal with specific problems within the country itself when they occur.

Suggested Citation

  • Tihana Škrinjarić, 2020. "Stock market stability on selected CEE and SEE markets: a quantile regression approach," Post-Communist Economies, Taylor & Francis Journals, vol. 32(3), pages 352-375, April.
    • Handle: RePEc:taf:pocoec:v:32:y:2020:i:3:p:352-375
    DOI: 10.1080/14631377.2019.1640994
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