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Rui Dias – School of Business and Administration, Polytechnic Institute of Setรบbal, Portugal; Center for Studies and Advanced Training in Management and Economics (CEFAGE), University of ร‰vora, Portugal

Mariana Chambino – School of Business and Administration, Polytechnic Institute of Setรบbal, Portugal

Nicole Horta – School of Business and Administration, Polytechnic Institute of Setรบbal, Portugal

Paula Heliodoro – School of Business and Administration, Polytechnic Institute of Setรบbal, Portugal

Paulo Alexandre – School of Business and Administration, Polytechnic Institute of Setรบbal, Portugal

Keywords:
Russian-Ukrainian invasion;
Central-Eastern European
markets;
Cointegration; Contagion;
Risk diversification

DOI: https://doi.org/10.31410/LIMEN.2022.39

Abstract

Understanding how crises spread is important for policymakยญers and regulators to take appropriate measures to prevent or contain crisis spread. This paper aims to analyse the synchronisations and financial conยญtagion between the capital markets of Austria (ATX), Hungary (BUX), Croaยญtia (CROBEX), Serbia (BELEX 15), Russia (IMOEX), Czech Republic (Prague SE PX), Slovenia (SBI TOP), and Poland (WIG) from September 19th, 2017, to Sepยญtember 15th, 2022. The results show that during the Tranquil period, there were 23 integrations (out of 49 possibilities), and the markets with the most integrations are the Russian (IMOEX) and Polish (WIG) capital markets, while the Slovenian market (SBI TOP) does not integrate with any market, suggestยญing some isolation from its regional peers. During the 2020 and 2022 Stress events, we can confirm the presence of 45 integrations, with the stock inยญdexes ATX, BUX, IMOEX, and SBI TOP being the most integrated markets (7 out of 7 possibilities). These findings are supported by the results of the unยญconditional correlations, which show that the coefficients significantly inยญcreased between the Tranquil and Stress periods. To validate, the Forbes and Rigobon’s t-test shows that we are witnessing the phenomenon of marked contagion in these regional markets, with the exception of the IMOยญEX-CROBEX pair. These findings suggest that regional investors operating in these markets may have some challenges in mitigating portfolio risk, with a high probability of possible losses in their portfolios.

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LIMEN Conference

8th International Scientific-Business Conference – LIMEN 2022 – Leadership, Innovation, Management and Economics: Integrated Politics of Research – CONFERENCE PROCEEDINGS, Hybrid (EXE Budapest Center, Budapest, Hungary), December 1, 2022,

LIMEN Conference proceedings published by the Association of Economists and Managers of the Balkans, Belgrade, Serbia

LIMEN Conference 2022 Conference proceedings: ISBN 978-86-80194-66-0, ISSN 2683-6149, DOI:ย  https://doi.org/10.31410/LIMEN.2022

Creative Commons Nonย Commercial CC BY-NC: This article is distributed under the terms of the Creative Commons Attribution-Non-Commercial 4.0 License (https://creativecommons.org/licenses/by-nc/4.0/) which permits non-commercial use, reproduction and distribution of the work without further permission.ย 

Suggested citation

Dias, R., Chambino, M., Horta, N., Heliodoro, P., & Alexandre, P. (2022). Linear and Nonlinear Effects on Connectivity Structure: A Comparison of European Stock Markets. In V. Bevanda (Ed.), International Scientific-Business Conference โ€“ LIMEN 2022: Vol 8. Conference proceedingsย (pp. 39-52). Association of Economists and Managers of the Balkans.ย  https://doi.org/10.31410/LIMEN.2022.39

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