Finanční propojenost akciových trhů východní Evropy

Shcherbov, Arsenii

Financial Connectedness of Eastern European Stock Markets Abstract The connectedness of financial assets and markets represents an essential concept that has long-lasting consequences for the assessment of risk. Thus, it is important to correctly measure dependencies and describe their dynamics to predict future responses of markets to shocks. In this thesis, I focus on the connectedness of Eastern European stock markets and assess the relationships between returns and volatilities in these markets, account- ing for the presence of cryptocurrency markets and other major developed markets. I describe conditional correlations of returns from the DCC model of Engle (2002, JBES). Using the spillover framework proposed by Diebold and Yılmaz (2009, EJ) I measure the connectedness from a static and dynamic perspective. The results indicate that Eastern European markets are tightly connected. The measures of connectedness were fluctuat- ing over time and have risen significantly as a consequence of the recent pandemic. The magnitude of the increase for different groups of markets ranges from 35% to 100%. Key words: Financial connectedness, Stock market, Spillovers.

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