What is Behind Extreme Negative Returns co-movement in the South Eastern European Stock Markets?
This paper examines co-movement of extreme returns in eight South Eastern European (SEE) stock markets during the period covering both the financial crisis from 2007-2009 and the COVID-19 health crisis. The analysis is based on coexceedances which represent the number of joint occurrences of extreme...
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Editura Universităţii „Alexandru Ioan Cuza” din Iaşi / Alexandru Ioan Cuza University of Iasi Publishing house
2021-03-01
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Series: | Scientific Annals of Economics and Business |
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Online Access: | http://saeb.feaa.uaic.ro/index.php/saeb/article/view/1131 |
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doaj-4599fbae37b04d0594e9fed3449e98c22021-04-01T20:27:07ZengEditura Universităţii „Alexandru Ioan Cuza” din Iaşi / Alexandru Ioan Cuza University of Iasi Publishing houseScientific Annals of Economics and Business2501-31652501-31652021-03-01681436110.47743/saeb-2021-0003195What is Behind Extreme Negative Returns co-movement in the South Eastern European Stock Markets?Dragan Tevdovski0Viktor Stojkoski1Faculty of Economics, Skopje, University Ss. Cyril and MethodiusFaculty of Economics, Skopje, University Ss. Cyril and Methodius; Macedonian Academy of Sciences and ArtsThis paper examines co-movement of extreme returns in eight South Eastern European (SEE) stock markets during the period covering both the financial crisis from 2007-2009 and the COVID-19 health crisis. The analysis is based on coexceedances which represent the number of joint occurrences of extreme returns in a group of stock market indexes. To provide a valuable insight on how persistence, asset class, and volatility effects are related with the coexceedances, we utilize a multinomial logistic regression procedure. We find evidence in favour of the continuation hypothesis. However, the factors associated with the coexceedances differ between the SEE European Union (EU) members and the SEE EU accession countries. The EU members are more dependent on signals from major EU economies, while the accession countries are mainly impacted by regional signals. The implications of our analysis may help policy makers in understanding the nature of shock transmission in SEE stock markets.http://saeb.feaa.uaic.ro/index.php/saeb/article/view/1131cco-movementcontagionstock marketsemerging marketssouth eastern europe. |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Dragan Tevdovski Viktor Stojkoski |
spellingShingle |
Dragan Tevdovski Viktor Stojkoski What is Behind Extreme Negative Returns co-movement in the South Eastern European Stock Markets? Scientific Annals of Economics and Business cco-movement contagion stock markets emerging markets south eastern europe. |
author_facet |
Dragan Tevdovski Viktor Stojkoski |
author_sort |
Dragan Tevdovski |
title |
What is Behind Extreme Negative Returns co-movement in the South Eastern European Stock Markets? |
title_short |
What is Behind Extreme Negative Returns co-movement in the South Eastern European Stock Markets? |
title_full |
What is Behind Extreme Negative Returns co-movement in the South Eastern European Stock Markets? |
title_fullStr |
What is Behind Extreme Negative Returns co-movement in the South Eastern European Stock Markets? |
title_full_unstemmed |
What is Behind Extreme Negative Returns co-movement in the South Eastern European Stock Markets? |
title_sort |
what is behind extreme negative returns co-movement in the south eastern european stock markets? |
publisher |
Editura Universităţii „Alexandru Ioan Cuza” din Iaşi / Alexandru Ioan Cuza University of Iasi Publishing house |
series |
Scientific Annals of Economics and Business |
issn |
2501-3165 2501-3165 |
publishDate |
2021-03-01 |
description |
This paper examines co-movement of extreme returns in eight South Eastern European (SEE) stock markets during the period covering both the financial crisis from 2007-2009 and the COVID-19 health crisis. The analysis is based on coexceedances which represent the number of joint occurrences of extreme returns in a group of stock market indexes. To provide a valuable insight on how persistence, asset class, and volatility effects are related with the coexceedances, we utilize a multinomial logistic regression procedure. We find evidence in favour of the continuation hypothesis. However, the factors associated with the coexceedances differ between the SEE European Union (EU) members and the SEE EU accession countries. The EU members are more dependent on signals from major EU economies, while the accession countries are mainly impacted by regional signals. The implications of our analysis may help policy makers in understanding the nature of shock transmission in SEE stock markets. |
topic |
cco-movement contagion stock markets emerging markets south eastern europe. |
url |
http://saeb.feaa.uaic.ro/index.php/saeb/article/view/1131 |
work_keys_str_mv |
AT dragantevdovski whatisbehindextremenegativereturnscomovementinthesoutheasterneuropeanstockmarkets AT viktorstojkoski whatisbehindextremenegativereturnscomovementinthesoutheasterneuropeanstockmarkets |
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