Short-Term Shocks Between Central European Stock Markets: An Approach During The 2020 and 2022 Events

Rui Manuel Teixeira Dias, Mariana Chambino and Nicole Rebolo Horta
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Rui Manuel Teixeira Dias: Accounting and Finance Department, ESCE, Instituto Politécnico de Setúbal, Setúbal, Portugal
Mariana Chambino: Accounting and Finance Department, ESCE, Instituto Politécnico de Setúbal, Setúbal, Portugal
Nicole Rebolo Horta: Accounting and Finance Department, ESCE, Instituto Politécnico de Setúbal, Setúbal, Portugal

Journal of Economic Analysis, 2023, vol. 2, issue 3, 80-93

Abstract: Stock indexes are used as a barometer of economic health, and fluctuations in these markets can have a substantial influence on the economy. For example, the Covid-19 pandemic caused severe economic disruption, as reflected in stock market indexes. Similarly, Russia's invasion of Ukraine has geopolitical implications that might undermine global trade and economic stability, impacting stock market indexes. Considering these developments, the purpose of this article is to examine the co-movements of the stock markets of Austria (ATX), Poland (WIG), the Czech Republic (PX Prague), Hungary (BUX), Croatia (CROBEX), Serbia (BELEX 15), Romania (BET), and Slovenia (SBI TOP) from February 16, 2018, to February 15, 2023. To achieve the research objectives, the aim is to answer the following research question: i) Have the events of 2020 and 2022 accentuated the co-movements between the stock markets in Central Europe? The results show the presence of 21 shocks between markets (out of a potential 56) during the Tranquil subperiod, with the WIG stock index having a greater predictive influence on the behavior of its peers (4 shocks out of 7 possible). During the Stress subperiod, 45 shocks were confirmed (out of 56 possible). The markets that triggered the most market shocks (7 out of 7 possibilities) were BET, BUX, CROBEX, and SBI TOP. The research question was validated based on the conclusion supplied, as all markets increased their movements, showing a considerable effect of the 2020 and 2022 events on these markets.

Keywords: Events of 2020 and 2022; Stock markets; Co-movements; Portfolio diversification (search for similar items in EconPapers)
Date: 2023
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