On emerging stock market contagion: The Baltic region |
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| Institution: | 1. Department of Economics, School of Business, Izmir University of Economics, Sakarya Caddesi, No: 156 35330 Balçova, Izmir Turkey;2. Department of International Trade and Finance, Faculty of Economic and Administrative Sciences, Pamukkale University, K?n?kl?, Denizli, Turkey;1. Unit of Urological Robotic Surgery and Renal Transplantation, University of Florence, Careggi Hospital, Florence, Italy;2. Department of Experimental and Clinical Medicine, University of Florence, Florence, Italy;3. Unit of Urological Oncologic Minimally-Invasive Robotic Surgery and Andrology, University of Florence, Careggi Hospital, Florence, Italy;4. Histopathology and Molecular Diagnostics, Azienda Ospedaliero Universitaria Careggi, Florence, Italy;1. Faculty of Civil Engineering and Architecture in Ni?, Aleksandra Medvedeva 14, 18000 Ni?, Serbia;2. St. Petersburg State Polytechnical University, Politekhnicheskaya, 29, Saint-Petersburg, 195251, Russia;3. Laboratory of General Biology, School of Medicine, University of Patras, 26500 Rio, Patras, Greece;5. Laboratory of Physiology, School of Medicine, University of Patras, 26500 Rio, Patras, Greece;4. Department of Systemic Cell Biology, Max Planck Institute of Molecular Physiology, Otto-Hahn-Strasse 11, 44227 Dortmund, Germany |
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| Abstract: | This study provides new evidence on emerging stock market contagion during the Global Financial crisis (GFC) and the Euro zone Sovereign Debt Crisis (ESDC). Focusing on the three emerging Baltic markets and developed European markets, proxied by the EUROSTOXX50 stock index, we explore asymmetric dynamic conditional correlation dynamics across stable and crisis periods. Empirical evidence indicates a diverse contagion pattern for the Baltic region across the two crises. Latvia and Lithuania were contagious during the GFC, while they were insulated from the adverse effects of the ESDC. On the other hand, Estonia decoupled from the negative consequences during the global turmoil period, but recoupled during the ESDC. The results could be attributed to financial and macroeconomic characteristics of the Baltic countries before and after the turmoil periods and the introduction time of the Euro as a national currency. |
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| Keywords: | Emerging Baltic stock markets Global financial crisis Euro zone debt crisis Asymmetric dynamic conditional correlation |
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