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How the Contagion is Transmitted to the Macedonian Stock Market? an Analysis of Co-Exceedances

Author

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  • Sulejmani Artan

    (Analyst, Monetary Policy and Research Department, National Bank of the Republic of North Macedonia, Republic of North Macedonia)

  • Tevdovski Dragan

    (Full-time Professor, Faculty of Economics-Skopje, Ss. Cyril and Methodius University, Bul. Goce Delcev 9B, 1000, Skopje, Republic of North Macedonia)

Abstract

The aim of the paper is to analyze the transmission of shocks from selected developed and Southeastern European stock markets to the stock market of North Macedonia. Using the Bae, Karolyi, and Stulz (2003) co-exceedance methodology, we find that the probability of contagion from the stock markets of United States, Serbia and Bosnia and Herzegovina to the Macedonian stock market increased during the Global Financial Crisis. Regarding the asset classes, we show that contagion is positively associated with the volatility of Eurostoxx50 index, while negatively with the return of the euro dollar exchange rate and the yield of the 10-year US Treasury Note. The results have important implications for portfolio diversification and the asset allocation decisions of investors.

Suggested Citation

  • Sulejmani Artan & Tevdovski Dragan, 2022. "How the Contagion is Transmitted to the Macedonian Stock Market? an Analysis of Co-Exceedances," South East European Journal of Economics and Business, Sciendo, vol. 17(1), pages 1-13, June.
    • Handle: RePEc:vrs:seejeb:v:17:y:2022:i:1:p:1-13:n:8
    DOI: 10.2478/jeb-2022-0001
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    References listed on IDEAS

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    More about this item

    Keywords

    Stock market; co-exceedance; multinomial logit regression; transmission; contagion;
    All these keywords.

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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