On emerging stock market contagion: The Baltic region

Alexakis, Panayotis; Kenourgios, Dimitris; Dimitriou, Dimitrios

doi:10.1016/j.ribaf.2015.09.035

Cited by 23 publications

(17 citation statements)

References 32 publications

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“…In the practical part, it was also clearly established that the same set of independent variables cannot be directly applied to different regions because although the chosen Y2B model did provide an accurate relationship between macroeconomic variables and stock indices in the United Kingdom, it failed to provide accurate (usable) results in other regions (Estonia, European Union, France, Germany, Latvia and Lithuania), which fall in line with the claims of Alexakis et al (2016); they mentioned that Latvia and Lithuania were affected during global crisis and Estonia was mainly affected only by Euro zone crisis, which clearly states that even countries of similar size, population and geographical location still have different economic trends and individual prediction models should be applied in order to get a clear picture of the future stock indices changes.…”

Section: Discussionmentioning

confidence: 99%

“…According to the authors, the linear regression models have a fairly high level of precision and provide additional opportunities for investors who are shaping their portfolio taking into account the macroeconomic forecasts but because of the shortness of the available time series, the influence of several factors on the models was not reflected, and the models should be expanded and updated in view of the new data accumulated by including not only macroeconomic indicators as factors that affect sectoral indices but also the statistical data of the respective economic activities, and in case of longer time series, one should apply a generalised least squares method. Alexakis et al (2016) examined the emerging stock market contagion during the Global Financial crisis and the Euro zone Sovereign Debt Crisis. They focused on the three emerging Baltic markets and developed European markets, proxied by the EUROSTOXX50 stock index.…”

Section: Literature Reviewmentioning

confidence: 99%

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Regional Limitations of Stock Indices Prediction Models Based on Macroeconomic Variables

Kvainickas

Stankevičienė

2019

Economics and Culture

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Research purpose. Stocks as well as other securities are a crucial part of the financial market that helps to redistribute financial resources amongst market participants, which in a modern economy include not only professional stock players but also many common individuals seeking to increase their capital. Previous studies found a strong relationship between the macroeconomic variables and stock returns but often the explanatory power of those models seems to be limited in the applicable region. The aim of this article is to establish whether each region’s stock indices have to be predicted based on a separate set of variables. Design / Methodology / Approach. The article uses correlation–regression analysis method to confirm the initial hypothesis regarding regional limitations of such prediction models. Findings. The same set of independent variables cannot be directly applied to different regions because although the chosen Y2B model did provide an accurate relationship between macroeconomic variables and stock indices in the United Kingdom, it failed to provide accurate (usable) results in other regions (Estonia, European Union, France, Germany, Latvia and Lithuania), Originality / Value / Practical implications. The results are important in order to define the way that the smaller and less-researched economies should be examined because detailed researches of power economies such as the United States, the United Kingdom, China or Germany often cannot be directly applied outside the initial research region. Therefore, the need of separate studies for smaller regions such as Baltic States is confirmed.

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Section: Discussionmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Regional Limitations of Stock Indices Prediction Models Based on Macroeconomic Variables

Kvainickas

Stankevičienė

2019

Economics and Culture

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“…Syllignakis and Kouretas (2011) applied the Dynamic Conditional Correlation (DCC) multivariate GARCH model of Engle (2002) to examine time-varying conditional correlations to the weekly index returns. They discovered that there was a statistically significant increase in conditional correlations between the US and the German stock returns and the CEE stock returns, particularly during the financial crises of 2007-2009. Alexakis et al (2016 investigated the contagion effect of the Baltic market during the crisis.…”

Section: Theoretical Backgroundmentioning

confidence: 99%

Wavelets analysis of the Baltic equity market: risk and co-movement with the European market

Kregždė

2018

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This paper's objective is to explore equity market risk and co-movements between the Baltic stock markets of Estonia, Latvia and Lithuania and the European stock markets both in time and frequency dimensions. We analyse equity markets returns risk across different time horizons (frequencies). At the same time, we focus on the changes of the market risk and comovements of the Baltic and the European markets returns in time. The aim of the paper is to find the frequencies and time when volatility and co-movements change. We use monthly data in the period of 2000-2017. The wavelet analysis was employed to segregate the risk and co-movements at different time and different frequencies. Compared to previous studies, a novelty of the paper is the investigation of the markets at each time horizon separately. Our findings are consistent with the findings of other researchers who indicated that the Baltic markets are more integrated with the developed European stock markets during crisis periods. We have found some impact of accession to the EU on co-movements between the Baltic equity markets and the European market. We have discovered that co-movements are greater in low frequencies. From the investment diversification point of view, the effect depends on the investment horizon. Our conclusion is that for the investor with a time horizon of over 1.5 years diversification with the Baltic markets is not very efficient.

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“…Among studies analyzing dependence for the case of developed and emerging countries stands out research developed by Nguyen & Bhatti (2015) About the research focuses on linkages among developing countries there are the following studies: Neaime (2016) examines contagion vulnerability and the international and regional financial linkages of the mena stock markets; Alexakis, Kenourgios & Dimitriou (2016) analyze the stock market contagion in Baltic countries; Shen, Li, Wang & Su (2015) study the contagion effect of the European debt crisis on China's stock market.…”

Section: Literature Reviewmentioning

confidence: 99%

Contagion and Stock Interdependence in the BRIC+M Block

Castro

Pacheco

Rosales

2018

ETYP

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This paper aims to analyze the contagion effect among the stock markets of the bric+m block (Brazil, Russia, India, China plus Mexico). The contagion effect is proved through increases on dependence parameters during crisis periods. The dependence parameters are estimated through a dynamic bivariate copula approach for the period July 1997 to December 2015. During this period there were instability and calm episodes, which allow analyzing changes in the relations of dependence. Empirical results show strong evidence of time-varying dependence among the bric+m markets and an increasing dependence relation during the global financial crisis period.

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On emerging stock market contagion: The Baltic region

Cited by 23 publications

References 32 publications

Regional Limitations of Stock Indices Prediction Models Based on Macroeconomic Variables

Regional Limitations of Stock Indices Prediction Models Based on Macroeconomic Variables

Wavelets analysis of the Baltic equity market: risk and co-movement with the European market

Contagion and Stock Interdependence in the BRIC+M Block

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