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The financial crisis and the stock markets of the CEE countries

The financial crisis and the stock markets of the CEE countries
The financial crisis and the stock markets of the CEE countries
Stock markets in Central and Eastern European (CEE) countries significantly collapsed during the financial crisis of 2008. We studied whether the collapse of stock markets in CEE countries was due to international linkages of deteriorating fundamentals or international spillovers of speculative bubbles. To this end, we estimated a state-space model to decompose the stock market indexes of three large CEE countries (Czech Republic, Hungary, and Poland) into fundamentals and speculative bubbles. We then used the techniques of cointegration analysis to study the long-run linkages of fundamentals and speculative bubbles. Our results suggest that international long-run linkages varied over time. The long-run linkages with the U.S. stock market strengthened in terms of both fundamentals and speculative bubbles during the market jitters caused by the financial crisis of 2008.
0015-1920
153-172
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Pierdzioch, Christian
60eb79c6-d98e-4ceb-a634-9acaf7ebc451
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Pierdzioch, Christian
60eb79c6-d98e-4ceb-a634-9acaf7ebc451

Kizys, Renatas and Pierdzioch, Christian (2011) The financial crisis and the stock markets of the CEE countries. Finance a úvěr - Czech Journal of Economics and Finance, 61 (2), 153-172.

Record type: Article

Abstract

Stock markets in Central and Eastern European (CEE) countries significantly collapsed during the financial crisis of 2008. We studied whether the collapse of stock markets in CEE countries was due to international linkages of deteriorating fundamentals or international spillovers of speculative bubbles. To this end, we estimated a state-space model to decompose the stock market indexes of three large CEE countries (Czech Republic, Hungary, and Poland) into fundamentals and speculative bubbles. We then used the techniques of cointegration analysis to study the long-run linkages of fundamentals and speculative bubbles. Our results suggest that international long-run linkages varied over time. The long-run linkages with the U.S. stock market strengthened in terms of both fundamentals and speculative bubbles during the market jitters caused by the financial crisis of 2008.

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Published date: 2011

Identifiers

Local EPrints ID: 434495
URI: http://eprints.soton.ac.uk/id/eprint/434495
ISSN: 0015-1920
PURE UUID: 80770961-7380-47a4-ad5e-8b9df57a25df
ORCID for Renatas Kizys: ORCID iD orcid.org/0000-0001-9104-1809

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Date deposited: 25 Sep 2019 16:30
Last modified: 09 Jan 2022 04:07

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Contributors

Author: Renatas Kizys ORCID iD
Author: Christian Pierdzioch

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