TOWARDS A MEASUREMENT SCALE FOR CONTAGION EFFECT ON CAPITAL MARKET Cover Image
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TOWARDS A MEASUREMENT SCALE FOR CONTAGION EFFECT ON CAPITAL MARKET
TOWARDS A MEASUREMENT SCALE FOR CONTAGION EFFECT ON CAPITAL MARKET

Author(s): Renata Karkowska
Subject(s): Economy
Published by: ASERS Publishing
Keywords: risk management; contagion effect; market volatility; capital index

Summary/Abstract: In the context of the recent financial crisis still seems to be the current theory of a specific system in the shape of the economies of the "center" and "peripheral countries". Also transmission of the contagion effect goes from more developed countries – the center to the less developed countries constituting the periphery. Is it possible feedbacks? Financial risk management in these conditions seems to be much more difficult. The aim of this study is to assess the risks arising from the contagion effect. In the analysis, author seeks answers to the questions: How is the interplay between changes in capital market indices of countries in Central and Eastern Europe, and selected indices of developed countries? How the contagion effect changes in time: before-, during and after the crisis 2008-2009? The survey was conducted for selected indices of capital markets in the period January 1995 - October 2012. The final results of GARCH model showed that during the recent crisis on the primary capital markets, the role of information coming from peripheral CEE markets. An estimated contagion effect between countries is greater from Europe to the U.S.A. than vice versa.

  • Issue Year: III/2012
  • Issue No: 06
  • Page Range: 103-110
  • Page Count: 7
  • Language: English
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