انتقال نوسانات از کانال بازارهای سهام
Abstract
1-Introduction
2-Literature review
3-Research methodology and data
4-Research results
5-Conclusions
Acknowledgement
References
Abstract
Many scientists and economists state that the degree of global integration of the Central and Eastern European countries (CEECs) stock markets is very low. However, the recent turmoils in the major financial centers in USA, China, etc. raise the question about the possible transmission of the global shocks to the CEECs stock markets despite the low degree of financial integration. The main research questions are: can the spillover effect transmit from the major stock markets on the CEECs stock markets and what type of shocks cause the cross-border contagion risk transmission to the CEECs stock markets? The objective of this study – to identify the transmission of global shocks through stock markets channel in the CEECs. The research methods: the systemic, logical and comparative analysis of the scientific literature and statistical methods: Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH) model. The empirical results of this study suggest that the highest degree of global and regional integration of the stock markets was observed in Poland’s, Czech Republic’s, and Hungary’s stock markets that can be explained by higher development level of these stock markets comparing to other CEECs. The collapse of Lehman Brothers bank in United States in 2008 was the most significant shock transmitted to CEECs stock markets. The empirical results also suggest that the transmission of other systemic shocks (e.g. the Middle East financial markets crash (May 2006), Greek debt crisis (April 23, 2010), Portugal’s debt crisis (May 16, 2011)) was also observed on some of the CEECs countries.
Introduction
The global and regional integration of the CEECs stock markets was investigated in many empirical studies (Mateus (2004), Maneschiold (2006), Nielsson (2007), Masood et al. (2010), Brannas et al. (2012), etc.). The results of the aforementioned scientific studies show that the degree of global integration of the CEECs stock markets is very low confirming that most of emerging stock markets (including CEECs) are less integrated at the global level. Many international investors have seen investment in emerging stock markets as a good portfolio diversification opportunity, however, the recent global shocks in USA’s and China’s stock markets raise the question about portfolio diversification opportunities during financial turmoil and the possible system wide global shocks transmission to the CEECs stock markets despite the low degree of global integration. The main research questions are: can the spillover effect from the major stock markets transmit on the CEECs stock markets and what type of shocks cause the spillover effect transmission? The objective of this study – to identify the shocks transmission through stock markets channel in the CEECs. The research object – stock markets in the CEECs. The research methods: the systemic, logical and comparative analysis of the scientific literature and statistical method: Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH) model.