Shift contagion with endogenously detected volatility breaks: the case of CEE stock markets

Eduard Baumohl, Štefan Lyócsa and Tomáš Výrost

Applied Economics Letters, 2011, vol. 18, issue 12, 1103-1109

Abstract: Using data from three Central and Eastern European (CEE-3) and two developed stock markets, we present a methodology for validating the existence of shift contagion between these markets. The use of endogenously detected changes in the volatility of stock market returns allows us to define relatively high- and low-volatility regimes for particular stock markets. We verify whether volatility regimes are significantly associated with dynamic conditional correlations (DCCs), thus providing evidence for contagion between stock markets.

Date: 2011
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DOI: 10.1080/13504851.2010.524610

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