Spillover effects and transmission of shocks in Visegrad equity markets

IF 2.3 Q2 BUSINESS, FINANCE Studies in Economics and Finance Pub Date : 2023-12-14 DOI:10.1108/sef-07-2023-0395
Florin Aliu, Vincenzo Asero, Alban Asllani, Jiří Kučera
{"title":"Spillover effects and transmission of shocks in Visegrad equity markets","authors":"Florin Aliu, Vincenzo Asero, Alban Asllani, Jiří Kučera","doi":"10.1108/sef-07-2023-0395","DOIUrl":null,"url":null,"abstract":"<h3>Purpose</h3>\n<p>Paper aims to investigate the interdependencies and spillover effects that the Visegrad (V4 hereafter) Equity Markets hold on each other. The V4 group stands for the political alliance of four Central European countries: Poland, the Czech Republic, Hungary and Slovakia.</p><!--/ Abstract__block -->\n<h3>Design/methodology/approach</h3>\n<p>The study uses Wavelet coherence, dynamic conditional correlation GARCH (1, 1) and unrestricted vector autoregression (VAR) methodologies. Daily data series (covering the period from January 2, 2006, to February 2, 2023) are analyzed to assess coherence, time-varying conditional correlation and shock transmission among the V4 Equity Markets.</p><!--/ Abstract__block -->\n<h3>Findings</h3>\n<p>Wavelet analysis reveals that the Slovak equity market does not maintain coherence with three other equity markets. The time-varying conditional correlation documents for the high interdependence during the COVID-19 outbreak of the four indexes. The VAR estimates reveal that shocks in the Warsaw equity market are easily transmitted in Prague and Budapest exchanges but not in Bratislava. The results show that the Slovak equity market tends to be isolated from the influence of other three V4 exchanges. This isolation is attributed to its size, limited volume and adoption of the euro in 2009. The study emphasizes the Slovak financial system’s gravitation toward the Eurozone after euro adoption.</p><!--/ Abstract__block -->\n<h3>Originality/value</h3>\n<p>Notably, the findings provide important signals for local and international investors as the results cover four significant international shocks. The global meltdown of 2008/09, the Greek debt crisis of 2010/11, the COVID-19 pandemic and the Russia-Ukraine war.</p><!--/ Abstract__block -->","PeriodicalId":45607,"journal":{"name":"Studies in Economics and Finance","volume":null,"pages":null},"PeriodicalIF":2.3000,"publicationDate":"2023-12-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Studies in Economics and Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1108/sef-07-2023-0395","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0

Abstract

Purpose

Paper aims to investigate the interdependencies and spillover effects that the Visegrad (V4 hereafter) Equity Markets hold on each other. The V4 group stands for the political alliance of four Central European countries: Poland, the Czech Republic, Hungary and Slovakia.

Design/methodology/approach

The study uses Wavelet coherence, dynamic conditional correlation GARCH (1, 1) and unrestricted vector autoregression (VAR) methodologies. Daily data series (covering the period from January 2, 2006, to February 2, 2023) are analyzed to assess coherence, time-varying conditional correlation and shock transmission among the V4 Equity Markets.

Findings

Wavelet analysis reveals that the Slovak equity market does not maintain coherence with three other equity markets. The time-varying conditional correlation documents for the high interdependence during the COVID-19 outbreak of the four indexes. The VAR estimates reveal that shocks in the Warsaw equity market are easily transmitted in Prague and Budapest exchanges but not in Bratislava. The results show that the Slovak equity market tends to be isolated from the influence of other three V4 exchanges. This isolation is attributed to its size, limited volume and adoption of the euro in 2009. The study emphasizes the Slovak financial system’s gravitation toward the Eurozone after euro adoption.

Originality/value

Notably, the findings provide important signals for local and international investors as the results cover four significant international shocks. The global meltdown of 2008/09, the Greek debt crisis of 2010/11, the COVID-19 pandemic and the Russia-Ukraine war.

查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
维舍格勒股市的溢出效应和冲击传播
目的 本文旨在研究维谢格拉德(以下简称 V4)股票市场之间的相互依存关系和溢出效应。V4 集团是由波兰、捷克共和国、匈牙利和斯洛伐克四个中欧国家组成的政治联盟:本研究采用小波一致性、动态条件相关性 GARCH (1, 1) 和无限制向量自回归 (VAR) 方法。研究分析了每日数据序列(涵盖 2006 年 1 月 2 日至 2023 年 2 月 2 日期间),以评估 V4 股票市场之间的一致性、时变条件相关性和冲击传递。时变条件相关性表明,在 COVID-19 爆发期间,四个指数之间的相互依赖性很高。VAR 估计结果显示,华沙股票市场的冲击很容易在布拉格和布达佩斯交易所传播,但在布拉迪斯拉发则不然。结果表明,斯洛伐克股票市场往往不受其他三个 V4 交易所的影响。造成这种孤立的原因是其规模、交易量有限以及在 2009 年采用了欧元。该研究强调了斯洛伐克金融体系在采用欧元后对欧元区的吸引力。原创性/价值值得注意的是,研究结果为本地和国际投资者提供了重要信号,因为研究结果涵盖了四次重大国际冲击。2008/09 年的全球经济衰退、2010/11 年的希腊债务危机、COVID-19 大流行病和俄罗斯-乌克兰战争。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
求助全文
约1分钟内获得全文 去求助
来源期刊
CiteScore
4.30
自引率
10.50%
发文量
43
期刊介绍: Topics addressed in the journal include: ■corporate finance, ■financial markets, ■money and banking, ■international finance and economics, ■investments, ■risk management, ■theory of the firm, ■competition policy, ■corporate governance.
期刊最新文献
Unraveling exogenous shocks, financial stress and US economic performance Influence of Ukrainian refugees on the exchange rate and stock market in neighboring countries How do commodity futures respond to Ukraine–Russia, Taiwan Strait and Hamas–Israel crises? – An analysis using event study approach How do commodity futures respond to Ukraine–Russia, Taiwan Strait and Hamas–Israel crises? – An analysis using event study approach The ups and downs of oil prices: asymmetric impacts of oil price volatility on corporate environmental responsibility
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1