EFEKT ZARAŻANIA W EUROPIE ŚRODKOWO-WSCHODNIEJ W CZASIE KRYZYSU PANDEMICZNEGO ZASTOSOWANIE METODY REGRESJI KWANTYLOWEJ
CONTAGION IN THE CENTRAL AND EASTERN EUROPE DURING THE CORONAVIRUS PANDEMIC APPLICATION OF THE QUANTILE REGRESSION
Author(s): Wojciech GrabowskiSubject(s): Supranational / Global Economy, Health and medicine and law, Financial Markets
Published by: Łódzkie Towarzystwo Naukowe
Keywords: quantile regression; contagion effect; stock market;
Summary/Abstract: Background: Stock market contagion in the countries of Central and Eastern Europe in the years 2020–2021 is investigated. Research purpose: The article evaluates the impact of the coronavirus pandemic, as well as stock and currency market uncertainty on the scale of contagion. Methods: The quantile regression method is used. Conclusions: Stock and currency market uncertainty strongly affected the shock transmission mechanism. Categories associated with the coronavirus pandemic were also important drivers of the shock transmission mechanism.
Journal: Studia Prawno-Ekonomiczne
- Issue Year: 2021
- Issue No: 121
- Page Range: 183-200
- Page Count: 18
- Language: Polish
