Stock market contagion in Central and Eastern Europe: unexpected volatility and extreme co-exceedance
研究了1998至2014年间美国股市的意外波动和负收益是否导致中欧和东欧六国股市出现更高的共同超越，发现传染效应在金融危机期间和平时均存在。
We examine whether there is contagion from the US stock market to six Central and Eastern European stock markets. We use a novel measure of contagion that examines whether volatility shocks in the US stock market coupled with negative returns are followed by higher co-exceedance between US and emerging stock markets. Using our approach and controlling for a set of market-related variables, we show that during the period from 1998 to 2014, financial contagion occurred, that is, unexpected negative events in the US market are followed by higher co-exceedance between US and Central and Eastern European stock markets. Even though contagion is stronger during the financial crisis, it also occurs in tranquil times.