Work detail

Co-exceedances in stocks and bonds between Southern European Countries and CEE Countries - Analysis of contagion

Author: Mgr. Matej Pjontek
Year: 2017 - summer
Leaders: prof. Roman Horváth Ph.D.
Consultants:
Work type: Finance, Financial Markets and Banking
Masters
Language: English
Pages: 108
Awards and prizes:
Link: https://is.cuni.cz/webapps/zzp/detail/179330/
Abstract: In this thesis, we analyse financial contagion between Southern European (Greek, Italian,
Portuguese and Spanish) and Central Eastern European (Czech, Polish and Hungarian) stock
markets respectively sovereign bond markets in the period from January 2001 to June 2016. A
quantile regression framework is applied to analyse contagion based on measuring of
occurrences and degrees of co-exceedances. We use conditional variance (volatility) of
analysed markets to find direction of the contagion. Our results show that during the analysed
period contagion between stock markets exists. Contagion between stock markets is stronger
during the financial and sovereign debt crisis. Direction of contagion is from Southern
European to Central Eastern European Countries. We do not find evidence of contagion
between Sothern European and Central Eastern European sovereign bond markets. Our results
show "flight to quality", but not "flight from quality".

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