Stock market contagion in Central and Eastern Europe: unexpected volatility and extreme co-exceedanceFootnote

†The Online Appendix is available at http://ies.fsv.cuni.cz/en/staff/horvath.

References

• Asongu, S. A. 2012. “The 2011 Japanese Earthquake, Tsunami and Nuclear Crisis: Evidence of Contagion from International Financial Markets.” Journal of Financial Economic Policy 4 (4): 340–353. doi: 10.1108/17576381211279307
   Google Scholar
• Bae, K.-H., G. A. Karolyi, and R. M. Stulz. 2003. “A New Approach to Measuring Financial Contagion.” Review of Financial Studies 16 (3): 717–763. doi: 10.1093/rfs/hhg012
   Web of Science ®Google Scholar
• Baker, S. R., N. Bloom, and S. J. Davis. 2016. “Measuring Economic Policy Uncertainty.” Quarterly Journal of Economics 131 (4): 1593–1636. doi: 10.1093/qje/qjw024
   Web of Science ®Google Scholar
• Barber, B. M., and T. Odean. 2001. “Boys Will be Boys: Gender, Overconfidence, and Common Stock Investment.” The Quarterly Journal of Economics 116 (1): 261–292. doi: 10.1162/003355301556400
   Web of Science ®Google Scholar
• Barroda, I., and F. D. K. Roberts. 1974. “Solution of an Overdetermined System of Equations in the l1 Norm.” Communications of the ACM 17 (6): 319–320. doi: 10.1145/355616.361024
   Web of Science ®Google Scholar
• Baur, D. G. 2012. “Financial Contagion and the Real Economy.” Journal of Banking & Finance 36 (10): 2680–2692. doi: 10.1016/j.jbankfin.2011.05.019
   Web of Science ®Google Scholar
• Baur, D. G. 2013. “The Structure and Degree of Dependence: A Quantile Regression Approach.” Journal of Banking & Finance 37 (3): 786–798. doi: 10.1016/j.jbankfin.2012.10.015
   Web of Science ®Google Scholar
• Baur, D. G., T. Dimpfl, and R. C. Jung. 2012. “Stock Return Autocorrelations Revisited: A Quantile Regression Approach.” Journal of Empirical Finance 19 (2): 254–265. doi: 10.1016/j.jempfin.2011.12.002
   Web of Science ®Google Scholar
• Baur, D. G., and R. A. Fry. 2009. “Multivariate Contagion and Interdependence.” Journal of Asian Economics 20 (4): 353–366. doi: 10.1016/j.asieco.2009.04.008
   Google Scholar
• Baur, D. G., and N. Schulze. 2005. “Coexceedances in Financial Markets—A Quantile Regression Analysis of Contagion.” Emerging Markets Review 6 (1): 21–43. doi: 10.1016/j.ememar.2004.10.001
   Google Scholar
• Bekaert, G., M. Ehrmann, M. Fratzscher, and A. Mehl. 2014. “The Global Crisis and Equity Market Contagion.” The Journal of Finance 69 (6): 2597–2649. doi: 10.1111/jofi.12203
   Web of Science ®Google Scholar
• Bekaert, G., C. R. Harvey, and A. Ng. 2005. “Market Integration and Contagion.” Journal of Business 78 (1): 39–69. doi: 10.1086/426519
   Web of Science ®Google Scholar
• Bekaert, G., and G. Wu. 2000. “Asymmetric Volatility and Risk in Equity Markets.” Review of Financial Studies 13 (1): 1–42. doi: 10.1093/rfs/13.1.1
   Web of Science ®Google Scholar
• Black, F. 1976. “Studies of Stock Price Volatility Changes.” In Proceedings of the 1976 Meetings of the American Statistical Association, Business and Economical Statistics Section, 177–181. Washington, DC: American Statistical Association.
   Google Scholar
• Boyer, B. H., T. Kumagi, and K. Yuan. 2006. “How do Crisis Spread? Evidence from Accessible and Inaccessible Stock Indices.” The Journal of Finance 61 (2): 957–1003. doi: 10.1111/j.1540-6261.2006.00860.x
   Web of Science ®Google Scholar
• Büttner, D., and B. Hayo. 2011. “Determinants of European Stock Market Integration.” Economic Systems 35 (4): 574–585. doi: 10.1016/j.ecosys.2010.10.004
   Web of Science ®Google Scholar
• Cappiello, L., B. Gérard, A. Kadareja, and S. Manganelli. 2006. “Financial Integration of New EU Member States.” ECB Working Paper Series No. 683.
   Google Scholar
• Choi, P., and K. Nam. 2008. “Asymmetric and Leptokurtic Distribution for Heteroscedastic Asset Returns: The SU-normal Distribution.” Journal of Empirical Finance 15 (1): 41–63. doi: 10.1016/j.jempfin.2006.06.009
   Google Scholar
• Christiansen, C., and A. Ranaldo. 2009. “Extreme Coexceedances in New EU Member States’s Stock Markets.” Journal of Banking & Finance 33 (6): 1048–1057. doi: 10.1016/j.jbankfin.2008.10.014
   Web of Science ®Google Scholar
• Christie, A. A. 1982. “The Stochastic Behavior of Common Stock Variances - Value, Leverage and Interest Rate Effects.” Journal of Financial Economics 10 (4): 407–432. doi: 10.1016/0304-405X(82)90018-6
   Web of Science ®Google Scholar
• Corsi, F. 2009. “A Simple Approximate Long-Memory Model of Realized Volatility.” Journal of Financial Econometrics 7 (2): 174–196. doi: 10.1093/jjfinec/nbp001
   Web of Science ®Google Scholar
• Czech National Bank. 2015. Financial Stability Report 2014/2015. Prague: Czech Republic.
   Google Scholar
• Daniel, K., D. Hirschleifer, and A. Subrahmanyam. 1998. “Investor Psychology and Security Market Under- and Overreactions.” The Journal of Finance 53 (6): 1839–1885. doi: 10.1111/0022-1082.00077
   Web of Science ®Google Scholar
• Dungey, M., and D. Gajurel. 2014. “Equity Market Contagion During the Global Financial Crisis: Evidence from the World's Eight Largest Economies.” Economic Systems 38 (2): 161–177. doi: 10.1016/j.ecosys.2013.10.003
   Web of Science ®Google Scholar
• Dungey, M., and D. Gajurel. 2015. “Contagion and Banking Crisis–International Evidence for 2007–2009.” Journal of Banking & Finance 60: 271–283. doi: 10.1016/j.jbankfin.2015.08.007
   Web of Science ®Google Scholar
• Elliott, G., T. J. Rothenberg, and J. H. Stock. 1996. “Efficient Tests for an Autoregressive Unit Root.” Econometrica 64 (4): 813–836. doi: 10.2307/2171846
   Web of Science ®Google Scholar
• Florackis, Ch., A. Kontonikas, and A. Kostakis. 2014. “Stock Market Liquidity and Macro-liquidity Shocks: Evidence from the 2007–2009 Financial Crisis.” Journal of International Money and Finance 44: 97–117. doi: 10.1016/j.jimonfin.2014.02.002
   Web of Science ®Google Scholar
• Forbes, K. 2012. “The “Big C': Identifying Contagion.” NBER Working Paper no. 18465.
   Google Scholar
• Forbes, K. J., and M. D. Chin. 2004. “A Decomposition of Global Linkages in Financial Markets over Time.” The Review of Economics and Statistics 86 (3): 705–722. doi: 10.1162/0034653041811743
   Web of Science ®Google Scholar
• Forbes, K. J., and R. Rigobon. 2002. “No Contagion, Only Interdependence: Measuring Stock Market Comovements.” The Journal of Finance 57 (5): 2223–2261. doi: 10.1111/0022-1082.00494
   Web of Science ®Google Scholar
• French, K. R., G. W. Schwert, and R. F. Stambaugh. 1987. “Expected Stock Returns and Volatility.” Journal of Financial Economics 19 (1): 3–29. doi: 10.1016/0304-405X(87)90026-2
   Web of Science ®Google Scholar
• Garman, M. B., and M. J. Klass. 1980. “On the Estimation of Security Price Volatilities from Historical Data.” Journal of Business 53 (1): 67–78. doi: 10.1086/296072
   Web of Science ®Google Scholar
• Granger, C. W. J., N. Hyung, and Y. Jeon. 2001. “Spurious Regressions with Stationary Series.” Applied Economics 33 (7): 899–904. doi: 10.1080/00036840121734
   Web of Science ®Google Scholar
• Grinblatt, M., and M. Keloharju. 2009. “Sensation Seeking, Overconfidence, and Trading Activity.” The Journal of Finance 64 (2): 549–578. doi: 10.1111/j.1540-6261.2009.01443.x
   Web of Science ®Google Scholar
• Hamilton, J. D., and R. Susmel. 1994. “Autoregressive Conditional Heteroskedasticity and Changes in Regime.” Journal of Econometrics 64 (1–2): 307–333. doi: 10.1016/0304-4076(94)90067-1
   Web of Science ®Google Scholar
• Hirschleifer, D. 2001. “Investor Psychology and Asset Pricing.” The Journal of Finance 56 (4): 1533–1597. doi: 10.1111/0022-1082.00379
   Web of Science ®Google Scholar
• Inclán, C., and G. Tiao. 1994. “Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance.” Journal of the American Statistical Association 89 (427): 913–923.
   Web of Science ®Google Scholar
• Johnson, N. L. 1949a. “Systems of Frequency Curves Generated by Method of Translation.” Biometrika 36 (1/2): 149–176. doi: 10.2307/2332539
   PubMed Web of Science ®Google Scholar
• Johnson, N. L. 1949b. “Bivariate Distributions Based on Simple Translation Systems.” Biometrika 36 (3/4): 297–304. doi: 10.2307/2332669
   PubMed Web of Science ®Google Scholar
• Kahneman, D., and A. Tversky. 1979. “Prospect Theory: An Analysis of Decision under Risk.” Econometrica 47 (2): 263–292. doi: 10.2307/1914185
   Web of Science ®Google Scholar
• Kenourgios, D., and A. Samitas. 2011. “Equity Market Integration in Emerging Balkan Markets.” Research in International Business and Finance 25 (3): 296–307. doi: 10.1016/j.ribaf.2011.02.004
   Google Scholar
• King, M. A., and S. Wadhwani. 1990. “Transmission of Volatility Between Stock Markets.” Review of Financial Studies 3 (1): 5–33. doi: 10.1093/rfs/3.1.5
   Web of Science ®Google Scholar
• Koch, N. 2014. “Tail Events: A New Approach to Understanding Extreme Energy Commodity Prices.” Energy Economics 43: 195–205. doi: 10.1016/j.eneco.2014.02.015
   Web of Science ®Google Scholar
• Kodres, L. E., and M. Pritsker. 2002. “A Rational Expectation Model of Financial Contagion.” The Journal of Finance 57 (2): 769–799. doi: 10.1111/1540-6261.00441
   Web of Science ®Google Scholar
• Koenker, R., and J. A. F. Machado. 1999. “Goodness of Fit and Related Inference Processes for Quantile Regression.” Journal of the American Statistical Association 94 (448): 1296–1310. doi: 10.1080/01621459.1999.10473882
   Web of Science ®Google Scholar
• Koenker, R. W., and V. D’Orey. 1987. “Algorithm AS 229: Computing Regression Quantiles.” Journal of the Royal Statistical Society: Series C (Applied Statistics) 37 (3): 383–393.
   Google Scholar
• Koenker, R. W., V. D'Orey. 1994. “A Remark on Algorithm AS 229: Computing Regression Quantiles.” Journal of the Royal Statistical Society: Series C (Applied Statistics) 43 (2): 410–414.
   Web of Science ®Google Scholar
• Kontonikas, A., R. MacDonald, and A. Saggu. 2013. “Stock Market Reaction to Fed Funds Rate Surprises: State Dependence and the Financial Crisis.” Journal of Banking & Finance 37 (11): 4025–4037. doi: 10.1016/j.jbankfin.2013.06.010
   Web of Science ®Google Scholar
• Kwiatkowski, D., P. C. B. Phillips, P. Schmidt, and Y. Shin. 1992. “Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?” Journal of Econometrics 54 (13): 159–178. doi: 10.1016/0304-4076(92)90104-Y
   Web of Science ®Google Scholar
• Lamoureux, Ch. G., and W. D. Lastrapes. 1990. “Persistence in Variance, Structural Change, and the GARCH Model.” Journal of Business & Economic Statistics 8 (2): 225–234.
   Web of Science ®Google Scholar
• Lin, J. W., and A. I. McLeod. 2006. “Improved Peña-Rodríguez Portmanteau Test.” Computational Statistics & Data Analysis 51 (3): 1731–1738. doi: 10.1016/j.csda.2006.06.010
   Web of Science ®Google Scholar
• Masson, P. 1999. “Contagion: Macroeconomic Models with Multiple Equilibria.” Journal of International Money and Finance 18 (4): 587–602. doi: 10.1016/S0261-5606(99)00016-9
   Web of Science ®Google Scholar
• McLeish, D. L. 2002. “Highs and Lows: Some Properties of the Extremes of a Diffusion and Applications in Finance.” The Canadian Journal of Statistics 30 (2): 243–267. doi: 10.2307/3315950
   Web of Science ®Google Scholar
• Mensi, W., S. Hammoudeh, J. C. Reboredo, and D. K. Nguyen. 2014. “Do Global Factors Impact BRICS Stock Markets? A Quantile Regression Approach.” Emerging Markets Review 19: 1–17. doi: 10.1016/j.ememar.2014.04.002
   Web of Science ®Google Scholar
• Mink, M. 2015. “Measuring Stock Market Contagion: Local or Common Currency Returns?” Emerging Markets Review 22: 18–24. doi: 10.1016/j.ememar.2014.11.003
   Web of Science ®Google Scholar
• Molnár, P. 2012. “Properties of Range-based Volatility Estimators.” International Review of Financial Analysis 23: 20–29. doi: 10.1016/j.irfa.2011.06.012
   Web of Science ®Google Scholar
• Molnár, P. 2015. “Realized Volatility and High-low Range in Volatility Forecasting.” Unpublished manuscript.
   Google Scholar
• National Bank of Poland. 2015. Financial Stability Report, July 2015. Warsaw, Poland.
   Google Scholar
• Nelson, D. B. 1991. “Conditional Heteroskedasticity in Asset Returns: A New Approach.” Econometrica 59 (2): 347–370. doi: 10.2307/2938260
   Web of Science ®Google Scholar
• Newey, W. K., and K. D. West. 1994. “Automatic Lag Selection in Covariance Matrix Estimation.” The Review of Economic Studies 61 (4): 631–653. doi: 10.2307/2297912
   Web of Science ®Google Scholar
• Odean, T. 1998. “Volume, Volatility, Price, and Profit When All Traders Are Above Average.” The Journal of Finance 53 (6): 1887–1934. doi: 10.1111/0022-1082.00078
   Web of Science ®Google Scholar
• Odean, T. 1999. “Do Investors Trade Too Much?” The American Economic Review 89 (5): 1279–1298. doi: 10.1257/aer.89.5.1279
   Web of Science ®Google Scholar
• Patton, A. J., and K. Sheppard. 2013. “Good Volatility, Bad Volatility: Signed Jumps and the Persistence of Volatility.” Economic Research Initiative at Duke (ERID): Working Paper No. 168.
   Google Scholar
• Peña, D., and J. Rodríguez. 2006. “The Log of the Determinant of the Autocorrelation Matrix for Testing Goodness of Fit in Time Series.” Journal of Statistical Planning and Inference 136 (8): 2706–2718. doi: 10.1016/j.jspi.2004.10.026
   Web of Science ®Google Scholar
• Perron, P., and Z. Qu. 2007. “A Simple Modification to Improve the Finite Sample Properties of Ng and Perron’s Unit Root Tests.” Economics Letters 94 (1): 12–19. doi: 10.1016/j.econlet.2006.06.009
   Web of Science ®Google Scholar
• Pindyck, R. S. 1984. “Risk, Inflation, and the Stock Market.” The American Economic Review 74 (3): 335–351.
   Web of Science ®Google Scholar
• Reboredo, J. C., A. K. Tiwari, and C. T. Albulescu. 2015. “An Analysis of Dependence Between Central and Eastern European Stock Markets.” Economic Systems 39 (3): 474–490. doi: 10.1016/j.ecosys.2015.01.002
   Web of Science ®Google Scholar
• Samarakoon, L. P. 2011. “Stock Market Interdependence, Contagion, and the U.S. Financial Crisis: The Case of Emerging and Frontier Markets.” Journal of International Financial Markets, Institutions and Money 21 (5): 724–742. doi: 10.1016/j.intfin.2011.05.001
   Web of Science ®Google Scholar
• Sansó, A., V. Aragó, and J. L. Carrion-i-Silvestre. 2004. “Testing for Changes in the Unconditional Variance of Financial Time Series.” Revista de Economía Financiera 4: 32–53.
   Google Scholar
• Savva, C. S., and N. Aslanidis. 2010. “Stock Market Integration Between New EU Member States and the Euro-Zone.” Empirical Economics 39 (2): 337–351. doi: 10.1007/s00181-009-0306-6
   Web of Science ®Google Scholar
• Schwartz, G. 1978. “Estimating the Dimension of a Model.” Annals of Statistics 6 (2): 461–464. doi: 10.1214/aos/1176344136
   Web of Science ®Google Scholar
• Sévi, B. 2014. “Forecasting the Volatility of Crude Oil Futures using Intraday Data.” European Journal of Operational Research 235 (3): 643–659. doi: 10.1016/j.ejor.2014.01.019
   Web of Science ®Google Scholar
• Su, J. J. 2008. “A Note on Spurious Regressions Between Stationary Series.” Applied Economics Letters 15 (15): 1225–1230. doi: 10.1080/13504850601018106
   Web of Science ®Google Scholar
• Sul, D., P. C. B. Phillips, and Ch-Y. Choi. 2005. “Prewhitening Bias in HAC Estimation.” Oxford Bulletin of Economics and Statistics 67 (4): 517–546. doi: 10.1111/j.1468-0084.2005.00130.x
   Web of Science ®Google Scholar
• Syllignakis, M. N., and G. P. Kouretas. 2011. “Dynamic Correlation Analysis of Financial Contagion: Evidence from the Central and Eastern European Markets.” International Review of Economics & Finance 20 (4): 717–732. doi: 10.1016/j.iref.2011.01.006
   Web of Science ®Google Scholar
• Wang, P., and T. Moore. 2008. “Stock Market Integration for the Transition Economies: Time-varying Conditional Correlation Approach.” The Manchester School 76 (1): 116–133. doi: 10.1111/j.1467-9957.2008.01083.x
   Web of Science ®Google Scholar
• Wu, G. 2001. “The Determinants of Asymmetric Volatility.” Review of Financial Studies 14 (3): 837–859. doi: 10.1093/rfs/14.3.837
   Web of Science ®Google Scholar