The spillover effect between central and eastern European financial markets

Bozagiu Andreea-Mădălina
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Bozagiu Andreea-Mădălina: Bucharest University of Economic Studies, Bucharest, Romania

Proceedings of the International Conference on Business Excellence, 2024, vol. 18, issue 1, 3660-3671

Abstract: This paper investigates the return and volatility spillovers between EUR/RON, EUR/HUF and EUR/PLN exchange rates and S&P500 index, but also the spillover effect between the capital markets of these three countries and this index, using the methodologies of (Diebold & Yılmaz, 2012). The paper provides both a brief description of several scientific researches conducted by numerous authors in the field of literature, and a series of empirical and econometric results that support theoretical demonstrations. The main results highlight that the spread of volatilities (spillover) intensifies during periods of economic crisis, and the main transmitter of spillover on the foreign exchange market, both in terms of returns and volatilities, is the stock market index S&P500. This paper contributes to the field of spillover studies by analyzing the connection between Romanian currency and the geographic countries neighbors.

Keywords: directional spillover; exchange rates; dynamic conditional correlation; DCC-GARCH-VAR; COVID-19 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:poicbe:v:18:y:2024:i:1:p:3660-3671:n:1050

DOI: 10.2478/picbe-2024-0297

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