Formal Identification of Crises on the Euro Area Stock Markets, 2004–2015

Elzbieta Majewska () and Joanna Olbrys
Additional contact information
Elzbieta Majewska: University of Bialystok

Chapter Chapter 13 in Advances in Applied Economic Research, 2017, pp 167-180 from Springer

Abstract: Abstract In this paper, crisis periods on the 19 euro area stock markets are formally detected and explored. A statistical method of dividing market states into bullish and bearish markets based on monthly logarithmic returns of major stock market indexes is employed. The sample period begins on January 2004, ends on December 2015, and includes the 2007–2009 Global Financial Crisis (GFC) and the subsequent euro area crises. Moreover, correctness of formal identification of down market periods is discussed utilizing two methods for verifying the bear market conditions. The empirical results indicate February 2009 as the end of the GFC for almost all countries investigated, except for Slovenia, Lithuania, Malta, Estonia, and Latvia, for which March 2009 is obtained as the end of the GFC. Furthermore, the findings concerning the European crises during the period beginning from late 2009 are in accord with the existing literature.

Keywords: Eurozone; Crisis Periods; Market States (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:spr:prbchp:978-3-319-48454-9_13

Ordering information: This item can be ordered from
http://www.springer.com/9783319484549

DOI: 10.1007/978-3-319-48454-9_13

Access Statistics for this chapter

More chapters in Springer Proceedings in Business and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().