 Stock Market Contagion in Central and Eastern Europe: Unexpected Volatility and Extreme Co-exceedanceRoman Horvath, Štefan Lyócsa and Eduard Baumohl No 357, Working Papers from Leibniz Institut für Ost- und Südosteuropaforschung (Institute for East and Southeast European Studies) Abstract: We examine whether there is contagion from the U.S. stock market to six Central and Eastern European stock markets. We use a novel measure of contagion that examines whether volatility shocks in the U.S. stock market coupled with negative returns are followed by higher co-exceedance between U.S. and emerging stock markets. Using our approach and controlling for a set of market- related variables, we show that during the period from 1998 to 2014, financial contagion occurred, i.e., unexpected negative events in the U.S. market are followed by higher co-exceedance between U.S. and Central and Eastern European stock markets. Even though contagion is stronger during the financial crisis, it also occurs in tranquil times. Keywords: contagion; co-exceedance; volatility; stock markets (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ost:wpaper:357 Ordering information: This working paper can be ordered from Access Statistics for this paper More papers in Working Papers from Leibniz Institut für Ost- und Südosteuropaforschung (Institute for East and Southeast European Studies) Contact information at EDIRC. |
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