Contagion among Central and Eastern European Stock Markets during the Financial Crisis
This paper contributes to the literature on international stock market comovements and contagion. The novelty of our approach lies in the application of wavelet tools to high-frequency financial market data, which allows us to understand the relationship between stock markets in the time-frequency domain. While a major part of economic time series analysis is done in the time or frequency domain separately, wavelet analysis combines these two fundamental approaches. Wavelet techniques uncover interesting dynamics of the correlations between Central and Eastern European (CEE) stock markets and the German DAX at various investment horizons. The results indicate that the connection of the CEE markets to the leading market of the region is significantly lower at higher frequencies than at lower frequencies. Contrary to previous literature, we document significantly lower contagion between the CEE markets and the German DAX after the large 2008 stock market crash.
Volume (Year): 63 (2013)
Issue (Month): 5 (November)
|Contact details of provider:|| Postal: Opletalova 26, CZ-110 00 Prague|
Phone: +420 2 222112330
Fax: +420 2 22112304
Web page: http://ies.fsv.cuni.cz/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jozef Barunik & Evzen Kocenda & Lukas Vacha, 2013.
"Gold, Oil, and Stocks,"
1308.0210, arXiv.org, revised Mar 2014.
- Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2014. "Gold, Oil, and Stocks," FinMaP-Working Papers 14, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- Jozef Baruník & Evžen Kocenda & Lukáš Vácha, 2015. "Gold, Oil, and Stocks: Dynamic Correlations," CESifo Working Paper Series 5333, CESifo Group Munich.
- Aguiar-Conraria, Luís & Azevedo, Nuno & Soares, Maria Joana, 2008. "Using wavelets to decompose the time–frequency effects of monetary policy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(12), pages 2863-2878.
- Lukas Vacha & Jozef Barunik, 2012.
"Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis,"
- Vacha, Lukas & Barunik, Jozef, 2012. "Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis," Energy Economics, Elsevier, vol. 34(1), pages 241-247.
- Jan Hanousek & Evžen Kočenda, 2011.
"Foreign News and Spillovers in Emerging European Stock Markets,"
Review of International Economics,
Wiley Blackwell, vol. 19(1), pages 170-188, 02.
- Evzen Kocenda & Jan Hanousek, 2010. "Foreign News and Spillovers in Emerging European Stock Markets," William Davidson Institute Working Papers Series wp983, William Davidson Institute at the University of Michigan.
- Jan Hanousek & Evzen Kocenda, 2009. "Intraday Price Discovery in Emerging European Stock Markets," CERGE-EI Working Papers wp382, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Gallegati, Marco, 2012. "A wavelet-based approach to test for financial market contagion," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3491-3497.
- Baele, L., 2003.
"Volatility Spillover Effects in European Equity Markets,"
2003-114, Tilburg University, Center for Economic Research.
- Baele, Lieven, 2005. "Volatility Spillover Effects in European Equity Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 40(02), pages 373-401, June.
- L. Baele, 2003. "Volatility Spillover Effects in European Equity Markets," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 03/189, Ghent University, Faculty of Economics and Business Administration.
- Connolly, Robert A. & Stivers, Chris & Sun, Licheng, 2007. "Commonality in the time-variation of stock-stock and stock-bond return comovements," Journal of Financial Markets, Elsevier, vol. 10(2), pages 192-218, May.
- Reinhart, Carmen & Calvo, Sara, 1996.
"Capital Flows to Latin America: Is There Evidence of Contagion Effects?”,"
7124, University Library of Munich, Germany.
- Carmen M. Reinhart & Sara Calvo, 1996. "Capital Flows to Latin America: Is There Evidence of Contagion Effects?," Peterson Institute Press: Chapters, in: Guillermo A. Calvo & Morris Goldstein & Eduard Hochreiter (ed.), Private Capital Flows to Emerging Markets After the Mexican Crisis, pages 151-171 Peterson Institute for International Economics.
- Calvo, Sara & Reinhart, Carmen, 1996. "Capital flows to Latin America : Is there evidence of contagion effects?," Policy Research Working Paper Series 1619, The World Bank.
- Baele, Lieven & Inghelbrecht, Koen, 2010. "Time-varying integration, interdependence and contagion," Journal of International Money and Finance, Elsevier, vol. 29(5), pages 791-818, September.
- Egert, Balazs & Kocenda, Evzen, 2007.
"Interdependence between Eastern and Western European stock markets: Evidence from intraday data,"
Elsevier, vol. 31(2), pages 184-203, June.
- Balazs Egert & Evzen Kocenda, 2005. "Contagion Across and Integration of Central and Eastern European Stock Markets: Evidence from Intraday Data," William Davidson Institute Working Papers Series wp798, William Davidson Institute at the University of Michigan.
- Kristin Forbes & Roberto Rigobon, 1999.
"No Contagion, Only Interdependence: Measuring Stock Market Co-movements,"
NBER Working Papers
7267, National Bureau of Economic Research, Inc.
- 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.
- Gjika, Dritan & Horváth, Roman, 2013. "Stock market comovements in Central Europe: Evidence from the asymmetric DCC model," Economic Modelling, Elsevier, vol. 33(C), pages 55-64.
- Reinhart, Carmen & Leiderman, Leonardo, 1994. "Capital inflows to Latin America," MPRA Paper 13406, University Library of Munich, Germany.
- Luís Francisco Aguiar-Conraria & Maria Joana Soares & Nuno Azevedo, 2007. "Using Wavelets to decompose time-frequency economic relations," NIPE Working Papers 17/2007, NIPE - Universidade do Minho.
- Morana, Claudio & Beltratti, Andrea, 2008.
"Comovements in international stock markets,"
Journal of International Financial Markets, Institutions and Money,
Elsevier, vol. 18(1), pages 31-45, February.
- Mikko Ranta, 2013. "Contagion among major world markets: a wavelet approach," International Journal of Managerial Finance, Emerald Group Publishing, vol. 9(2), pages 133-149, March.
- António Rua & Luís Catela Nunes, 2009.
"International comovement of stock market returns: a wavelet analysis,"
w200904, Banco de Portugal, Economics and Research Department.
- Rua, António & Nunes, Luís C., 2009. "International comovement of stock market returns: A wavelet analysis," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 632-639, September.
- Gilmore, Claire G. & Lucey, Brian M. & McManus, Ginette M., 2008. "The dynamics of Central European equity market comovements," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(3), pages 605-622, August.
When requesting a correction, please mention this item's handle: RePEc:fau:fauart:v:63:y:2013:i:5:p:443-453. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lenka Herrmannova)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.