How the Contagion is Transmitted to the Macedonian Stock Market? an Analysis of Co-Exceedances

Sulejmani Artan () and Dragan Tevdovski
Additional contact information
Sulejmani Artan: Analyst, Monetary Policy and Research Department, National Bank of the Republic of North Macedonia, Republic of North Macedonia

South East European Journal of Economics and Business, 2022, vol. 17, issue 1, 1-13

Abstract: The aim of the paper is to analyze the transmission of shocks from selected developed and Southeastern European stock markets to the stock market of North Macedonia. Using the Bae, Karolyi, and Stulz (2003) co-exceedance methodology, we find that the probability of contagion from the stock markets of United States, Serbia and Bosnia and Herzegovina to the Macedonian stock market increased during the Global Financial Crisis. Regarding the asset classes, we show that contagion is positively associated with the volatility of Eurostoxx50 index, while negatively with the return of the euro dollar exchange rate and the yield of the 10-year US Treasury Note. The results have important implications for portfolio diversification and the asset allocation decisions of investors.

Keywords: Stock market; co-exceedance; multinomial logit regression; transmission; contagion (search for similar items in EconPapers)
JEL-codes: C02 C11 C45 C46 C63 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.2478/jeb-2022-0001 (text/html)

Related works:
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:vrs:seejeb:v:17:y:2022:i:1:p:1-13:n:8

DOI: 10.2478/jeb-2022-0001

Access Statistics for this article

South East European Journal of Economics and Business is currently edited by Adnan Efendic, Vesna Babić-Hodović and Aziz Šunje

More articles in South East European Journal of Economics and Business from Sciendo
Bibliographic data for series maintained by Peter Golla ().