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Contagion between selected European indexes during the Covid-19 pandemic

Gurgul Henryk, Syrek Robert

Operations Research and Decisions

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2023

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Vol. 33, No. 1

47--59

EN

The main aim of this study is to examine dynamic dependence and proof of contagion during the Covid-2019 pandemic. The empirical data are daily prices from six European indexes. The FTSE, DAX and CAC indexes represent the largest and most developed stock markets in Europe, while the Austrian ATX index represents small developed markets. The WIG and BUX indexes represent emerging European markets. This empirical study, based on the Dynamic Conditional Correlation model, which is applied to different pairs of indexes, aims to convince the reader of the increase in the correlation between the time of the pandemic (after 30 December 2019) and the period before the beginning of the pandemic. For all pairs, the mean value of the conditional correlations in the pre-Covid period was statistically below the values in the Covid period. The results indicate contagion in Europe after the outbreak of the Covid-2019 pandemic.

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Contagion effects on capital and forex markets around GFC and COVID-19 crises : a comparative study

Brania Krzysztof, Gurgul Henryk

Operations Research and Decisions

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2021

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Vol. 31, No. 2

59--92

EN

The spread of crises across the financial and capital markets of different countries has been studied. The standard method of contagion detection is based on the evolution of the correlation matrix for the example of exchange rates or returns, usually after removing univariate dynamics with the GARCH model. It is a common observation that crises that have occurred in one financial market are usually transmitted to other financial markets/countries simultaneously and that they are visible in different financial variables such as returns and volatility which determine probability distribution. The changes in distributions can be detected through changes in the descriptive statistics of, e.g., returns characterised by expected value, variance, skewness, kurtosis, and other statistics. They determine the shape of the distribution function of returns. These descriptive statistics display dynamics over time. Moreover, they can interreact within the given financial or capital market and among markets. We use the FX currency cluster represented by some of the major currencies and currencies of the Višegrad group. In analysing capital markets in terms of equity indexes, we chose developed markets, such as DAX 30, AEX 25, CAC 40, EURSTOXX 50, FTSE 100, ASX 200, SPX 500, NASDAQ 100, and RUSSEL 2000. We aim to check the changes in descriptive statistics, matrices of correlation concerning exchange rates, returns and volatility based on the data listed above, surrounding two crises: the global financial crisis (GFC) in 2007–2009 and Covid 2019.

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Spatial contagion between stock markets in Central Europe

Czapkiewicz A., Wójtowicz T.

Managerial Economics

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2017

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Vol. 18, no. 1

23--45

EN

In this paper, we investigate contagion between three European stock markets: those in Frankfurt, Vienna, and Warsaw. Two of them are developed markets, while the last is an emerging market. Additionally, the stock exchanges in Vienna and Warsaw are competing markets in the CEE region. On the basis of daily and intraday returns, we analyze and compare the dependence between the major indices of these markets during calm and turbulent periods. A comparison of the dependence in the tail and in the central part of the joint distribution of returns (via a spatial contagion measure) indicates strong contagion among the analyzed markets. Additionally, the application of a conditional contagion measure indicates the importance of taking into account the situation on other markets when contagion between two markets is considered.