The Impact of the Global Pandemic Crisis on East and Central EU Stock Markets
Our research is based on an examination of capital market dynamics in four European countries, namely Poland, Romania, Hungary, and the Czech Republic, during the pandemic crisis. The paper is divided into two parts and examines the relationship between macro-financial variables and the major stoc...
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| Format: | Article |
| Language: | English |
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Ovidius University Press
2022-09-01
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| Series: | Ovidius University Annals: Economic Sciences Series |
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| Online Access: | https://stec.univ-ovidius.ro/html/anale/RO/2022-2/Section%205/26.pdf |
| _version_ | 1811338931410567168 |
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| author | Mitica Pepi |
| author_facet | Mitica Pepi |
| author_sort | Mitica Pepi |
| collection | DOAJ |
| description | Our research is based on an examination of capital market dynamics in four European countries, namely Poland, Romania, Hungary, and the Czech Republic, during the pandemic crisis.
The paper is divided into two parts and examines the relationship between macro-financial variables and the major stock market indices of Western European (UK, Germany, and Austria) and Eastern European markets. The analysis is based on the use of the autoregressive vector model (VAR), which shows that during the global pandemic crisis, macroeconomic factors had a significant impact on the financial performance of Eastern European countries' financial markets.
In the second part, the correlation of the yields of the stock indices from the countries of Western and Eastern European countries is analyzed, using the multivariate GARCH model. |
| first_indexed | 2024-04-13T18:18:53Z |
| format | Article |
| id | doaj.art-748156b6b03046d985f8fb4f2134afa0 |
| institution | Directory Open Access Journal |
| issn | 2393-3127 |
| language | English |
| last_indexed | 2024-04-13T18:18:53Z |
| publishDate | 2022-09-01 |
| publisher | Ovidius University Press |
| record_format | Article |
| series | Ovidius University Annals: Economic Sciences Series |
| spelling | doaj.art-748156b6b03046d985f8fb4f2134afa02022-12-22T02:35:34ZengOvidius University PressOvidius University Annals: Economic Sciences Series2393-31272022-09-01XXII1963968The Impact of the Global Pandemic Crisis on East and Central EU Stock Markets Mitica Pepi0“Ovidius” University of Constanta, Faculty of Economic Sciences, Romania Our research is based on an examination of capital market dynamics in four European countries, namely Poland, Romania, Hungary, and the Czech Republic, during the pandemic crisis. The paper is divided into two parts and examines the relationship between macro-financial variables and the major stock market indices of Western European (UK, Germany, and Austria) and Eastern European markets. The analysis is based on the use of the autoregressive vector model (VAR), which shows that during the global pandemic crisis, macroeconomic factors had a significant impact on the financial performance of Eastern European countries' financial markets. In the second part, the correlation of the yields of the stock indices from the countries of Western and Eastern European countries is analyzed, using the multivariate GARCH model.https://stec.univ-ovidius.ro/html/anale/RO/2022-2/Section%205/26.pdfstock indicesvar modelconditional correlationcapital marketseuro zone |
| spellingShingle | Mitica Pepi The Impact of the Global Pandemic Crisis on East and Central EU Stock Markets Ovidius University Annals: Economic Sciences Series stock indices var model conditional correlation capital markets euro zone |
| title | The Impact of the Global Pandemic Crisis on East and Central EU Stock Markets |
| title_full | The Impact of the Global Pandemic Crisis on East and Central EU Stock Markets |
| title_fullStr | The Impact of the Global Pandemic Crisis on East and Central EU Stock Markets |
| title_full_unstemmed | The Impact of the Global Pandemic Crisis on East and Central EU Stock Markets |
| title_short | The Impact of the Global Pandemic Crisis on East and Central EU Stock Markets |
| title_sort | impact of the global pandemic crisis on east and central eu stock markets |
| topic | stock indices var model conditional correlation capital markets euro zone |
| url | https://stec.univ-ovidius.ro/html/anale/RO/2022-2/Section%205/26.pdf |
| work_keys_str_mv | AT miticapepi theimpactoftheglobalpandemiccrisisoneastandcentraleustockmarkets AT miticapepi impactoftheglobalpandemiccrisisoneastandcentraleustockmarkets |