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International Crises, Geopolitical Risks and the Hungarian Stock Market

Author

Listed:
  • Attila Zoltan Nagy

    (University of Pecs)

  • Sandor Erdos

    (University of Pecs)

Abstract

The authors examined the impacts of 108 international crises since 1991 on the share price index of the Budapest Stock Exchange with the event window and cross-sectional regression techniques, using the MSCI Emerging Markets Index as a basis of comparison. The results show that the average cumulative abnormal returns are, for the most part, negative, and statistically significant impacts can be observed primarily during a brief (0-10-trading day) period following the event. Market responses grew stronger after the 2000s, and the Hungarian stock market responds more sensitively to crises than developing markets do. Over the longer run, peaceful crises trigger more marked negative responses but these are temporary, while more severe crises have longer negative effects. In a regional breakdown, European events have proven to be the most sensitive. Cross-sectional regression analyses show that abnormal returns in the stock market are predominantly related to global volatility (VIX) and the BUX index's return environment preceding the event, while domestic macroeconomic fundamentals and confidence indicators only show a weaker and less certain relationship.

Suggested Citation

  • Attila Zoltan Nagy & Sandor Erdos, 2025. "International Crises, Geopolitical Risks and the Hungarian Stock Market," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 24(4), pages 118-145.
    • Handle: RePEc:mnb:finrev:v:24:y:2025:i:4:p:118-145
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    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • F52 - International Economics - - International Relations, National Security, and International Political Economy - - - National Security; Economic Nationalism
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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