Contagion among Central and Eastern European Stock Markets during the Financial Crisis

Jozef Baruník and Lukas Vacha

Czech Journal of Economics and Finance (Finance a uver), 2013, vol. 63, issue 5, 443-453

Abstract: 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.

Keywords: wavelets; financial crisis; Central and Eastern European stock markets; comovement; contagion (search for similar items in EconPapers)
JEL-codes: C22 C40 E32 F30 G15 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

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Working Paper: Contagion among Central and Eastern European stock markets during the financial crisis (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:fau:fauart:v:63:y:2013:i:5:p:443-453

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