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COVID-19 Pandemic: Stock Markets Situation in European Ex-Communist Countries

Author

Listed:
  • Dorota Zebrowska-Suchodolska
  • Andrzej Karpio
  • Krzysztof Kompa

Abstract

Purpose: The aim of this article is to present the impact of the COVID-19 pandemic on the capital markets of post-communist economies and, whether these markets are reacting in the same way. The research concerns indices of stock exchanges in Poland, Hungary, Latvia, Lithuania, Bulgaria, Czech Republic, Romania, Estonia, Croatia, and Slovenia. Methodology: The investigation covers the period from 30 SEP 2019 to 31 DEC 2020 divided into three sub-periods - pre-pandemic, pandemic shock, and pandemic stabilization. A trend analysis of the indices studied and a volatility analysis of the returns of the indices were conducted. Econometric trend models and GARCH-class models were applied. Findings: As a main finding it can be concluded that the capital markets of the post-communist economies responded to the pandemic in an analogous way, as well as that the scale and level of development of stock markets does not affect their response to the pandemic and stock market prosperity during the pandemic period. Practical Implications: The work focuses on the analysis of major stock market indices in countries with very different levels of capital market development. The course of the pandemic varies from country to country in terms of freezing the economy. As a consequence, it allows answering the fundamental question from the economic point of view: To what extent does a crisis of a non-economic nature affect the stock exchange situation in countries at the stage of capital market development? Originality/Value: The analysis of the level of capital markets development in post-communist countries has been the subject of many works, including by authors. However, the emergence of a pandemic creates a unique (hopefully) opportunity for research under extreme conditions such as the pandemic. As a consequence, information is obtained about the economic resilience, or lack thereof, of post-communist countries to crisis situations of a non-economic nature.

Suggested Citation

  • Dorota Zebrowska-Suchodolska & Andrzej Karpio & Krzysztof Kompa, 2021. "COVID-19 Pandemic: Stock Markets Situation in European Ex-Communist Countries," European Research Studies Journal, European Research Studies Journal, vol. 0(3 - Part ), pages 1106-1128.
    • Handle: RePEc:ers:journl:v:xxiv:y:2021:i:3-part1:p:1106-1128
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    References listed on IDEAS

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    Cited by:

    1. Żebrowska-Suchodolska Dorota, 2024. "The Impact of the Size of Funds on the Use of Selectivity and Market Timing by Investment Funds," Folia Oeconomica Stetinensia, Sciendo, vol. 24(2), pages 419-437.

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    More about this item

    Keywords

    Stock index; market situation; regression; ARCH effect; GARCH model.;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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