Do financial markets in central and eastern European countries experience post-crisis mean reversion?

Sophie Nivoix () and Sandrine Boulerne ()
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Sophie Nivoix: CEREGE [Poitiers, La Rochelle] - Centre de recherche en gestion - UP - Université de Poitiers = University of Poitiers - ULR - La Rochelle Université - Excelia Group | La Rochelle Business School
Sandrine Boulerne: VALLOREM - Val de Loire Recherche en Management - UO - Université d'Orléans - UT - Université de Tours

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Abstract: While several studies have examined the mean reversion of returns on equity markets in industrialized countries, there has been a lack of academic research on the markets of central and eastern European countries (CEECs). Our research aims to fill this gap by employing an innovative measurement method that uses an exponential moving average. We also tested an ARMA model as well as Granger causality test. The results indicate an absence of mean reversion in the very short term (daily horizon) but there are different effects on other investment horizons depending on the type of crisis. During the 2008 financial crisis and at the start of the war in Ukraine, the mean reversion effect was more noticeable in the medium term (90 days), while it was more marked in the short term (ten days) during the Covid-19 crisis.

Date: 2025-10
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Published in Economics Bulletin, In press

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05253422

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