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Formal Identification of Crises on the Euro Area Stock Markets, 2004–2015

In: Advances in Applied Economic Research

Author

Listed:
  • Elzbieta Majewska

    (University of Bialystok)

  • Joanna Olbrys

    (Bialystok University of Technology)

Abstract

In this paper, crisis periods on the 19 euro area stock markets are formally detected and explored. A statistical method of dividing market states into bullish and bearish markets based on monthly logarithmic returns of major stock market indexes is employed. The sample period begins on January 2004, ends on December 2015, and includes the 2007–2009 Global Financial Crisis (GFC) and the subsequent euro area crises. Moreover, correctness of formal identification of down market periods is discussed utilizing two methods for verifying the bear market conditions. The empirical results indicate February 2009 as the end of the GFC for almost all countries investigated, except for Slovenia, Lithuania, Malta, Estonia, and Latvia, for which March 2009 is obtained as the end of the GFC. Furthermore, the findings concerning the European crises during the period beginning from late 2009 are in accord with the existing literature.

Suggested Citation

  • Elzbieta Majewska & Joanna Olbrys, 2017. "Formal Identification of Crises on the Euro Area Stock Markets, 2004–2015," Springer Proceedings in Business and Economics, in: Nicholas Tsounis & Aspasia Vlachvei (ed.), Advances in Applied Economic Research, chapter 0, pages 167-180, Springer.
    • Handle: RePEc:spr:prbchp:978-3-319-48454-9_13
    DOI: 10.1007/978-3-319-48454-9_13
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