IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-05253422.html
   My bibliography  Save this paper

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

Author

Listed:
  • Sophie Nivoix

    (CEREGE [Poitiers, La Rochelle] - Centre de recherche en gestion - UP - Université de Poitiers = University of Poitiers - ULR - La Rochelle Université - Excelia Group | La Rochelle Business School)

  • Sandrine Boulerne

    (VALLOREM - Val de Loire Recherche en Management - UO - Université d'Orléans - UT - Université de Tours)

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. We also tested an ARMA model as well as Granger causality test. 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?," Post-Print hal-05253422, HAL.
    • Handle: RePEc:hal:journl:hal-05253422
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-05253422. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.