Work detail

Analysis of contagion between energy and CEE financial markets

Author: Mgr. Mariia Kosar
Year: 2016 - summer
Leaders: prof. Roman Horváth Ph.D.
Consultants:
Work type: Economic Theory
Masters
Language: English
Pages: 117
Awards and prizes:
Link: https://is.cuni.cz/webapps/zzp/detail/165505/
Abstract: This work analyzes the contagion effects between energy and CEE financial markets
during the two crisis periods (global financial crisis 2008-2009 and energy market crisis
2014), using a sample of daily data from 2004 till 2015. We detect contagion by observing
the degree and structure of two dummy variables for specified crisis periods included into
the quantile regression models on the basis of a dependence measure called
"coexceedances". Our results show that there are significant contagion effects present
between the gasoil and CEE stock markets during the 2008-2009 period and mixed
evidence of contagion between crude oil market and CEE stock markets. CEE stock
markets do not appear to exhibit significant contagion effects with energy markets during
the recent energy market crisis. These results substantially differ from those found in the
developed European markets. In particular, our results indicate that energy markets and
stock markets in developed Europe seem to display significant contagion effects during
the 2014-2015 period.
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