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Spatial contagion between stock markets in Central Europe

Author

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  • Anna Czapkiewicz

    (AGH University of Science and Technology, Faculty of Management, Department of Applications of Mathematics in Economics)

  • Tomasz Wojtowicz

    (AGH University of Science and Technology, Faculty of Management, Department of Applications of Mathematics in Economics)

Abstract

In this paper, we investigate contagion between three European stock markets: those in Frankfurt, Vienna, and Warsaw. Two of them are developed markets, while the last is an emerging market. Additionally, the stock exchanges in Vienna and Warsaw are competing markets in the CEE region. On the basis of daily and intraday returns, we analyze and compare the dependence between the major indices of these markets during calm and turbulent periods. A comparison of the dependence in the tail and in the central part of the joint distribution of returns (via a spatial contagion measure) indicates strong contagion among the analyzed markets. Additionally, the application of a conditional contagion measure indicates the importance of taking into account the situation on other markets when contagion between two markets is considered.

Suggested Citation

  • Anna Czapkiewicz & Tomasz Wojtowicz, 2017. "Spatial contagion between stock markets in Central Europe," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 18(1), pages 23-46.
  • Handle: RePEc:agh:journl:v:18:y:2017:i:1:p:23-46
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    References listed on IDEAS

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    Cited by:

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    2. Krzysztof Brania & Henryk Gurgul, 2021. "Contagion effects on capital and forex markets around GFC and COVID-19 crises. A comparative study," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 31(2), pages 59-92.

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