ABSTRACT
This paper investigates if the transmission channel of the Global Financial Crisis to 17 Eastern European markets can be directly connected with the US market or one of the three largest European markets. By employing a dummy regression model with a GJR-GARCH and EGARCH frameworks, the results show that Euronext is the main transmission channel for most analyzed markets. Latvia, Russia and Serbia were affected by the London Stock Exchange, while Slovakia showed no contagion. These results show that the crisis’s effects and transmission were not identical worldwide. This suggests that measures created to mitigate such crises should be tailored to each market.
JEL CLASSIFICATION:
Acknowledgments
The author wishes to thank for the very useful comments received from prof. Victor Dragotă and the discussant and participants of the Joint Conference of EWGCFM and FI BA 2021. The remaining errors are mine.
Disclosure Statement
No potential conflict of interest was reported by the author(s).
Notes
1. Poland was awarded the status of developed market in 2017 by FTSE, but during the crisis, it was still classified as emerging.
3. The coefficients of the ARMA process are not reported. They are available upon request from the author.
4. The results obtained by using the EGARCH framework is presented in Appendix B, .
5. The results obtained by using the EGARCH framework is presented in Appendix B, .
6. The results obtained by using the GJR-GARCH framework is presented in Appendix B, .
7. The results obtained by using the GJR-GARCH framework is presented in Appendix B, .
Additional information
Notes on contributors
Elena Valentina Ţilică
Elena Valentina Ţilică is a lecturer from the Department of Finance of the Bucharest University of Economic Studies, with expertise in emerging financial markets and corporate finance.