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The Financial Crisis’ Impact on the Central and Eastern Europe Capital Markets

Listed author(s):
  • Daniel Stefan ARMEANU

    ()

    (Bucharest University of Economic Studies, Romania)

  • Adrian ENCIU

    ()

    (Bucharest University of Economic Studies, Romania)

  • Carmen OBREJA

    ()

    (Bucharest University of Economic Studies, Romania)

  • Sorin-Iulian CIOACÃ

    ()

    (Bucharest University of Economic Studies, Romania)

We study the impact on return and volatility of 8 capital markets (Bulgaria, Czech Republic, France, Germany, Hungary, Poland, Romania and US) during three crisis (subprime crisis, global financial crisis and Brexit), that occurred in January, 1st 2007 – August, 26th, 2016 time frame. In order to reduce the initial causal space represented by the returns on CEE markets, we used the Principal Component Analysis. One principal component was identified and placed within a AR(2)-GARCH(1,1) model for return and associated volatility. The results show that the volatility during the global crisis and that related to the Brexit moment are statistically significant, but they present different coefficients: the volatility boosted during the global financial crisis and lowered after the Brexit announcement. This late result can be explained by the prudent stance of the investors who are concerned to evaluate the impact of the Brexit and the consequences for the financial markets of the associated measures.

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Article provided by Faculty of Management, Academy of Economic Studies, Bucharest, Romania in its journal REVIEW OF INTERNATIONAL COMPARATIVE MANAGEMENT.

Volume (Year): 17 (2016)
Issue (Month): 5 (December)
Pages: 420-431

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Handle: RePEc:rom:rmcimn:v:17:y:2016:i:5:p:420-431
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  1. Daniel ARMEANU & Cristina Andreea DOIA & Melania HANCILA & Sorin CIOACA, 2013. "The Analysis of the Correlation Intensity Between Emerging Market During Economic Crisis," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 61(2), pages 307-318, May.
  2. 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.
  3. Dan ARMEANU & Sorin-Iulian CIOACA & Ana TUDORACHE & Ana-Maria BURCA, 2012. "Financial Crisis Impact On The Development Of The Romanian Capital Market," Internal Auditing and Risk Management, Athenaeum University of Bucharest, vol. 1(26), pages 54-62, March.
  4. Daniel Stefan ARMEANU Author-Name Carmen Emilia PASCAL Author-Name Sorin-Iulian CIOACA, 2014. "Managing Contagion Risk During Economic, Financial And Political Shocks," Proceedings of the INTERNATIONAL MANAGEMENT CONFERENCE, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 8(1), pages 1148-1157, November.
  5. Marais, E. & Bates, S., 2006. "An empirical study to identify shift contagion during the Asian crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(5), pages 468-479, December.
  6. Dornbusch, Rudiger & Park, Yung Chul & Claessens, Stijn, 2000. "Contagion: Understanding How It Spreads," World Bank Research Observer, World Bank Group, vol. 15(2), pages 177-197, August.
  7. repec:dau:papers:123456789/272 is not listed on IDEAS
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