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Do financial markets in central and eastern European countries experience post-crisis mean reversion?

Author

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  • Sophie Nivoix

    (University of poitiers, France)

  • Sandrine Boulerne

    (University of Tours, France)

Abstract

While several studies have examined the mean reversion of returns on equity markets in industrialized countries, there has been a lack of academic research on the markets of central and eastern European countries (CEECs). Our research aims to fill this gap by employing an innovative measurement method that uses an exponential moving average. The results indicate an absence of mean reversion in the very short term (daily horizon) but there are different effects on other investment horizons depending on the type of crisis. During the 2008 financial crisis and at the start of the war in Ukraine, the mean reversion effect was more noticeable in the medium term (90 days), while it was more marked in the short term (ten days) during the Covid-19 crisis.

Suggested Citation

  • Sophie Nivoix & Sandrine Boulerne, 2025. "Do financial markets in central and eastern European countries experience post-crisis mean reversion?," Economics Bulletin, AccessEcon, vol. 45(3), pages 1194-1208.
    • Handle: RePEc:ebl:ecbull:eb-24-00392
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    References listed on IDEAS

    as
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    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • G1 - Financial Economics - - General Financial Markets

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