Volatility and co-movements of the equity markets in Central Europe: Evidence from Poland and Hungary

Artikel

This article aims at verifying if there has been a structural change in the co-movement pattern of selected Central and Eastern Europe (CEE) over the ten-year period following the financial crisis. The empirical results confirmed that such a change was observed both in the correlation and volatility levels for specific market segments, as well as in the market dynamics. These findings provide a new insight into understanding the shock resilience, which consequently can supplement a wider assessment of the systemic risk in the financial markets. The key results point towards a decreased uncertainty in estimated correlation levels during the post-crisis period. Such findings are consistent with the hypothesis that intermarket linkages are currently better reflected in market prices when compared to the pre-crisis period. While this is clearly a positive signal for future system stability, it also evidences that the widely used GARCH and DCC specifications turn to be relatively narrow and therefore greater caution is highly recommended when interpreting estimation results.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Economic and Environmental Studies (E&ES) ; ISSN: 2081-8319 ; Volume: 18 ; Year: 2018 ; Issue: 2 ; Pages: 499-513 ; Opole: Opole University, Faculty of Economics

Classification and Topics

• Classification: Wirtschaft ; International Financial Markets ; Financial Econometrics ; Financial Forecasting and Simulation ; Financial Crises ; General Equilibrium and Disequilibrium: Financial Markets
• Subject: correlation ; volatility ; financial markets ; GARCH ; financial econometrics ; systemic risk ; CEE

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Chmielewska, Anna
• Event: Veröffentlichung
• (who): Opole University, Faculty of Economics
• (where): Opole
• (when): 2018

Further information

• DOI: doi:10.25167/ees.2018.46.2
• Handle: http://hdl.handle.net/10419/193097
• Last update: 10.03.2025, 11:42 AM CET