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

Dan Armeanu (), Adrian Enciu, Carmen Obreja () and Sorin-Iulian Cioacã ()
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Carmen Obreja: Bucharest University of Economic Studies, Romania
Sorin-Iulian Cioacã: Bucharest University of Economic Studies, Romania

REVISTA DE MANAGEMENT COMPARAT INTERNATIONAL/REVIEW OF INTERNATIONAL COMPARATIVE MANAGEMENT, 2016, vol. 17, issue 5, 420-431

Abstract: 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.

Keywords: capital market; contagion risk; crisis; volatility; principal component. (search for similar items in EconPapers)
JEL-codes: C22 G01 G15 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:rom:rmcimn:v:17:y:2016:i:5:p:420-431

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