Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/148914
Authors: 
Horváth, Roman
Lyócsa, Štefan
Baumöhl, Eduard
Year of Publication: 
2016
Series/Report no.: 
IOS Working Papers 357
Abstract: 
We examine whether there is contagion from the U.S. stock market to six Central and Eastern European stock markets. We use a novel measure of contagion that examines whether volatility shocks in the U.S. stock market coupled with negative returns are followed by higher co-exceedance between U.S. and emerging stock markets. Using our approach and controlling for a set of marketrelated variables, we show that during the period from 1998 to 2014, financial contagion occurred, i.e., unexpected negative events in the U.S. market are followed by higher co-exceedance between U.S. and Central and Eastern European stock markets. Even though contagion is stronger during the financial crisis, it also occurs in tranquil times.
Subjects: 
contagion
co-exceedance
volatility
stock markets
JEL: 
G01
G14
G15
Document Type: 
Working Paper

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