Transfer of financial risk in emerging eastern European stock markets: A sectoral perspective
With the rise of interconnected global financial systems, there is an increased risk that a financial crisis in one country may spread to others. The contagion effects of the 2008 global financial crisis hit advanced economies fast and hard while sparing less developed and less integrated financial systems. The present study focuses on the contagion effects at Eastern European stock markets and changes in their interconnections after EU accession in 2004. Specifically, we investigate the relationship among the stock market sectors of Poland, Hungary and the Czech Republic during 19982009 and their exposure to on-shored financial risk. The evidence suggests direct linkages between different stock market sectors with respect to returns and volatilities with increased equity-shock transmission between markets after EU accession in 2004. Of particular note is the intra-industry contagion in emerging Europe. Our findings have implications for asset pricing and portfolio selection for international financial institutions and financial managers.
|Date of creation:||11 Oct 2011|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: + 358 10 831 2268
Fax: + 358 10 831 2294
Web page: http://www.suomenpankki.fi/bofit_en/
More information through EDIRC
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.:
- Venus Khim-Sen Liew & Wing-Keung Wong & Zhuo Qiao, 2007. "Does the US IT stock market dominate other IT stock markets: Evidence from multivariate GARCH model," Economics Bulletin, AccessEcon, vol. 6(27), pages 1-7.
- John Cotter & Simon Stevenson, 2011.
"Multivariate Modeling of Daily REIT Volatility,"
- Hammoudeh, Shawkat M. & Yuan, Yuan & McAleer, Michael, 2009.
"Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets,"
The Quarterly Review of Economics and Finance,
Elsevier, vol. 49(3), pages 829-842, August.
- Hammoudeh, S.M. & Yuan, Y. & McAleer, M.J., 2008. "Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets," Econometric Institute Research Papers EI 2008-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Guglielmo Maria Caporale & Nicola Spagnolo, 2011. "Stock Market Integration between Three CEECs, Russia, and the UK," Review of International Economics, Wiley Blackwell, vol. 19(1), pages 158-169, 02.
- Kaltenhaeuser, Bernd, 2003. "Country and sector-specific spillover effects in the euro area, the United States and Japan," Working Paper Series 0286, European Central Bank.
- Kate Phylaktis & Lichuan Xia, 2009. "Equity Market Comovement and Contagion: A Sectoral Perspective," Financial Management, Financial Management Association International, vol. 38(2), pages 381-409, 06.
- Farooq Malik & Syed Hassan, 2004. "Modeling volatility in sector index returns with GARCH models using an iterated algorithm," Journal of Economics and Finance, Springer, vol. 28(2), pages 211-225, June.
- Ernst R. Berndt & Bronwyn H. Hall & Robert E. Hall & Jerry A. Hausman, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 653-665 National Bureau of Economic Research, Inc.
- Marcel Prokopczuk, 2010. "Intra-industry contagion effects of earnings surprises in the banking sector," Applied Financial Economics, Taylor & Francis Journals, vol. 20(20), pages 1601-1613.
- Catão, Luis A. V. & Timmermann, Allan G, 2004.
"Country and Industry Dynamics in Stock Returns,"
CEPR Discussion Papers
4368, C.E.P.R. Discussion Papers.
- 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.
- repec:ebl:ecbull:v:6:y:2007:i:27:p:1-7 is not listed on IDEAS
- Buguk, Cumhur & Hudson, Darren & Hanson, Terrill R., 2003. "Price Volatility Spillover in Agricultural Markets: An Examination of U.S. Catfish Markets," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 28(01), April.
- Hassan, Syed Aun & Malik, Farooq, 2007. "Multivariate GARCH modeling of sector volatility transmission," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(3), pages 470-480, July.
- Ferreira, Miguel A. & Gama, Paulo M., 2005. "Have World, Country, and Industry Risks Changed over Time? An Investigation of the Volatility of Developed Stock Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 40(01), pages 195-222, March.
- Pais, Amelia & Stork, Philip A., 2011. "Contagion risk in the Australian banking and property sectors," Journal of Banking & Finance, Elsevier, vol. 35(3), pages 681-697, March.
- Hyytinen, Ari, 1999. "Stock Return Volatility on Scandinavian Stock Markets and the Banking Industry," Research Discussion Papers 19/1999, Bank of Finland.
- Elena Fedorova & Mika Vaihekoski, 2009.
"Global and Local Sources of Risk in Eastern European Emerging Stock Markets,"
Czech Journal of Economics and Finance (Finance a uver),
Charles University Prague, Faculty of Social Sciences, vol. 59(1), pages 2-19, January.
- Fedorova, Elena & Vaihekoski, Mika, 2008. "Global and local sources of risk in Eastern European emerging stock markets," BOFIT Discussion Papers 27/2008, Bank of Finland, Institute for Economies in Transition.
- De Moor, Lieven & Sercu, Piet, 2007. "Country v Sector Effects in Equity Returns: Are Emerging-Market Firms just Small Firms?," Working Papers 2007/03, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
- Christos Savva & Nektarios Aslanidis, 2010. "Stock market integration between new EU member states and the Euro-zone," Empirical Economics, Springer, vol. 39(2), pages 337-351, October.
- Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
- Elena Fedorova & Kashif Saleem, 2010. "Volatility Spillovers between Stock and Currency Markets: Evidence from Emerging Eastern Europe," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 60(6), pages 519-533, December.
When requesting a correction, please mention this item's handle: RePEc:hhs:bofitp:2011_024. 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: (Päivi Määttä)
If references are entirely missing, you can add them using this form.