The Comovement of Exchange Rates and Stock Markets in Central and Eastern Europe
| Autor: | Simona Moagar-Poladian, Cristian-Valeriu Stanciu, Dorina Clichici |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2019 |
| Předmět: |
Geography
Planning and Development lcsh:TJ807-830 lcsh:Renewable energy sources Central and Eastern Europe Monetary economics Management Monitoring Policy and Law Exchange rate 0502 economics and business Economics media_common.cataloged_instance foreign exchange markets 050207 economics European union global financial crisis lcsh:Environmental sciences media_common lcsh:GE1-350 050208 finance Renewable Energy Sustainability and the Environment lcsh:Environmental effects of industries and plants 05 social sciences Financial market Financial integration stock markets Eastern european lcsh:TD194-195 Financial crisis European sovereign debt crisis Stock market European debt crisis |
| Zdroj: | Sustainability, Vol 11, Iss 14, p 3985 (2019) Sustainability Volume 11 Issue 14 |
| ISSN: | 2071-1050 |
| Popis: | This paper analyses the link between exchange rates and stock markets in four Central and Eastern European countries. We simultaneously explore the comovements of foreign exchange markets and stock markets at the cross-country level and the link between these two markets within each country while employing a Dynamic Conditional Correlation Mixed Data Sampling (DCC-MIDAS) model. Such an approach to financial markets conveys a much more visible picture of the existing patterns of financial integration between these markets that would otherwise be neglected. The estimates reveal significant differences between the patterns of correlation in our sample countries. First, the paper finds a quite low degree of convergence between foreign exchange markets, with rising correlations during some of the crisis episodes. Second, both the 2004 European Union enlargement and the European sovereign debt crisis underpin the stock market comovements in the Central and Eastern European countries. Third, the correlations between the exchange rate returns and stock markets rise mostly during the European sovereign debt crisis and to a lesser extent during the global financial crisis, revealing signs of contagion and lower portfolio diversification opportunities. These results are of utmost relevance for the process of financial integration and they also have important implications for policy makers, risk management, and investors. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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