Contagion among Central and Eastern European stock markets during the financial crisis

0396416 - ÚTIA 2014 RIV CZ eng J - Journal Article
Baruník, Jozef - Vácha, Lukáš
Contagion among Central and Eastern European stock markets during the financial crisis.
Finance a úvěr-Czech Journal of Economics and Finance. Roč. 63, č. 5 (2013), s. 443-453. ISSN 0015-1920. E-ISSN 0015-1920
R&D Projects: GA ČR(CZ) GBP402/12/G097
Institutional support: RVO:67985556
Keywords : wavelets * financial crisis * Central and Eastern European stock markets * comovement * contagion
Subject RIV: AH - Economics
Impact factor: 0.358, year: 2013
http://library.utia.cas.cz/separaty/2013/E/barunik-0396416.pdf

This paper contributes to the literature on international stock market comovements and contagion. The novelty of our approach lies in application of wavelet tools to high-frequency financial market data, which allows us to understand the relationship between stock markets in a time-frequency domain. While major part of economic time series analysis is done in time or frequency domain separately, wavelet analysis combines these two fundamental approaches. Wavelet techniques uncover interesting dynamics of correlations between the Central and Eastern European (CEE) stock markets and the German DAX at various investment horizons. The results indicate that connection of the CEE markets to the leading market of the region is significantly lower at higher frequencies in comparison to the lower frequencies. Contrary to previous literature, we document significantly lower contagion between the CEE markets and the German DAX after the large 2008 stock market crash.
Permanent Link: http://hdl.handle.net/11104/0224323