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The spillover effect between central and eastern European financial markets

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  • Bozagiu Andreea-Mădălina

    (Bucharest University of Economic Studies, Bucharest, Romania)

Abstract

This paper investigates the return and volatility spillovers between EUR/RON, EUR/HUF and EUR/PLN exchange rates and S&P500 index, but also the spillover effect between the capital markets of these three countries and this index, using the methodologies of (Diebold & Yılmaz, 2012). The paper provides both a brief description of several scientific researches conducted by numerous authors in the field of literature, and a series of empirical and econometric results that support theoretical demonstrations. The main results highlight that the spread of volatilities (spillover) intensifies during periods of economic crisis, and the main transmitter of spillover on the foreign exchange market, both in terms of returns and volatilities, is the stock market index S&P500. This paper contributes to the field of spillover studies by analyzing the connection between Romanian currency and the geographic countries neighbors.

Suggested Citation

  • Bozagiu Andreea-Mădălina, 2024. "The spillover effect between central and eastern European financial markets," Proceedings of the International Conference on Business Excellence, Sciendo, vol. 18(1), pages 3660-3671.
    • Handle: RePEc:vrs:poicbe:v:18:y:2024:i:1:p:3660-3671:n:1050
    DOI: 10.2478/picbe-2024-0297
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    References listed on IDEAS

    as
    1. Yu-Chin Chen & Kenneth S. Rogoff & Barbara Rossi, 2010. "Can Exchange Rates Forecast Commodity Prices?," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 125(3), pages 1145-1194.
    2. Dash, Saumya Ranjan & Maitra, Debasish, 2019. "The relationship between emerging and developed market sentiment: A wavelet-based time-frequency analysis," Journal of Behavioral and Experimental Finance, Elsevier, vol. 22(C), pages 135-150.
    3. Diebold, Francis X. & Yilmaz, Kamil, 2012. "Better to give than to receive: Predictive directional measurement of volatility spillovers," International Journal of Forecasting, Elsevier, vol. 28(1), pages 57-66.
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