Analysis of contagion in stocks and bonds between EU markets
(Sprache: Englisch)
In this book, we analyze financial contagion between Southern European (Greek, Italian, Portuguese and Spanish) and Central Eastern European (Czech, Polish and Hungarian) stock markets respectively sovereign bond markets in the period from January 2001 to...
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In this book, we analyze financial contagion between Southern European (Greek, Italian, Portuguese and Spanish) and Central Eastern European (Czech, Polish and Hungarian) stock markets respectively sovereign bond markets in the period from January 2001 to June 2016. A quantile regression framework is applied to analyze contagion based on measuring of occurrences and degrees of co-exceedances. We use conditional variance (volatility) of analyzed markets to find direction of the contagion. Our results show that during the analyzed period contagion between stock markets exists. Contagion between stock markets is stronger during the financial and sovereign debt crisis. Direction of contagion is from Southern European to Central Eastern European Countries. We do not find evidence of contagion between Southern European and Central Eastern European sovereign bond markets. Our results show "flight to quality", but not "flight from quality".
Bibliographische Angaben
- Autor: Matej Pjontek
- 2017, 116 Seiten, Maße: 22 cm, Kartoniert (TB), Englisch
- Verlag: LAP Lambert Academic Publishing
- ISBN-10: 6202081538
- ISBN-13: 9786202081535
Sprache:
Englisch
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