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How the Contagion is Transmitted to the Macedonian Stock Market? an Analysis of Co-Exceedances

How the Contagion is Transmitted to the Macedonian Stock Market? an Analysis of Co-Exceedances AbstractThe aim of the paper is to analyze the transmission of shocks from selected developed and Southeastern European stock markets to the stock market of North Macedonia. Using the Bae, Karolyi, and Stulz (2003) co-exceedance methodology, we find that the probability of contagion from the stock markets of United States, Serbia and Bosnia and Herzegovina to the Macedonian stock market increased during the Global Financial Crisis. Regarding the asset classes, we show that contagion is positively associated with the volatility of Eurostoxx50 index, while negatively with the return of the euro dollar exchange rate and the yield of the 10-year US Treasury Note. The results have important implications for portfolio diversification and the asset allocation decisions of investors. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png South East European Journal of Economics and Business de Gruyter

How the Contagion is Transmitted to the Macedonian Stock Market? an Analysis of Co-Exceedances

How the Contagion is Transmitted to the Macedonian Stock Market? an Analysis of Co-Exceedances

South East European Journal of Economics and Business , Volume 17 (1): 13 – Jun 1, 2022

Abstract

AbstractThe aim of the paper is to analyze the transmission of shocks from selected developed and Southeastern European stock markets to the stock market of North Macedonia. Using the Bae, Karolyi, and Stulz (2003) co-exceedance methodology, we find that the probability of contagion from the stock markets of United States, Serbia and Bosnia and Herzegovina to the Macedonian stock market increased during the Global Financial Crisis. Regarding the asset classes, we show that contagion is positively associated with the volatility of Eurostoxx50 index, while negatively with the return of the euro dollar exchange rate and the yield of the 10-year US Treasury Note. The results have important implications for portfolio diversification and the asset allocation decisions of investors.

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Publisher
de Gruyter
Copyright
© 2022 Artan Sulejmani et al., published by Sciendo
ISSN
2233-1999
eISSN
2233-1999
DOI
10.2478/jeb-2022-0001
Publisher site
See Article on Publisher Site

Abstract

AbstractThe aim of the paper is to analyze the transmission of shocks from selected developed and Southeastern European stock markets to the stock market of North Macedonia. Using the Bae, Karolyi, and Stulz (2003) co-exceedance methodology, we find that the probability of contagion from the stock markets of United States, Serbia and Bosnia and Herzegovina to the Macedonian stock market increased during the Global Financial Crisis. Regarding the asset classes, we show that contagion is positively associated with the volatility of Eurostoxx50 index, while negatively with the return of the euro dollar exchange rate and the yield of the 10-year US Treasury Note. The results have important implications for portfolio diversification and the asset allocation decisions of investors.

Journal

South East European Journal of Economics and Businessde Gruyter

Published: Jun 1, 2022

Keywords: Stock market; co-exceedance; multinomial logit regression; transmission; contagion; C02; C11; C45; C46; C63

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