What is Behind Extreme Negative Returns co-movement in the South Eastern European Stock Markets?

Dragan Tevdovski and Viktor Stojkoski

Scientific Annals of Economics and Business (continues Analele Stiintifice), 2021, vol. 68, issue 1, 43 - 61

Abstract: This paper examines co-movement of extreme returns in eight South Eastern European (SEE) stock markets during the period covering both the financial crisis from 2007-2009 and the COVID-19 health crisis. The analysis is based on coexceedances which represent the number of joint occurrences of extreme returns in a group of stock market indexes. To provide a valuable insight on how persistence, asset class, and volatility effects are related with the coexceedances, we utilize a multinomial logistic regression procedure. We find evidence in favour of the continuation hypothesis. However, the factors associated with the coexceedances differ between the SEE European Union (EU) members and the SEE EU accession countries. The EU members are more dependent on signals from major EU economies, while the accession countries are mainly impacted by regional signals. The implications of our analysis may help policy makers in understanding the nature of shock transmission in SEE stock markets. JEL Codes - C25; F36; G15

Keywords: co-movement; contagion; stock markets; emerging markets; South Eastern Europe (search for similar items in EconPapers)
Date: 2021
References: Add references at CitEc
Citations:

Downloads: (external link)
http://saeb.feaa.uaic.ro/index.php/saeb/article/view/1198 (application/pdf)

Related works:
Working Paper: What is behind extreme negative returns co-movement in the South Eastern European stock markets? (2020)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aic:saebjn:v:68:y:2021:i:1:p:43-61:n:202

DOI: 10.47743/saeb-2021-0003

Access Statistics for this article

More articles in Scientific Annals of Economics and Business (continues Analele Stiintifice) from Alexandru Ioan Cuza University, Faculty of Economics and Business Administration Contact information at EDIRC.
Bibliographic data for series maintained by Sireteanu Napoleon-Alexandru ().