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DOI :10.26650/ISTJECON2021-994570   IUP :10.26650/ISTJECON2021-994570    Full Text (PDF)

Spillover Effects of Stock Markets in the COVID-19 Pandemic Period: Evidence From Central and East European Countries

Selma Öner, Hakan Öner, Hande Kılıç Satıcı

This study aims to investigate the correlation and the spillover effects between Central and East European (CEE) Countries’ stock markets during the Covid-19 Pandemic Period. CEE countries are listed as Bulgaria, Croatia, the Czech Republic, Hungary, Poland, Romania, the Slovak Republic, Slovenia, Estonia, Latvia, and Lithuania by OECD. The data set was obtained from the Bloomberg data services and includes 308 observations of daily returns between March 11th, 2020 and August 1st, 2021. As a result of the empirical analysis using the Pearson Correlation, the Multivariate VAR Model, and the Granger Causality Test, a high correlation was found between the stock markets of CEE countries, and 15 causality relationships were determined. The analysis also revealed bidirectional relationships between the Bulgaria Stock Exchange Index and Romania Bucharest Stock Exchange Index, the Polish Warsaw Stock Exchange Index and Croatia Zagreb Stock Exchange Index, the Romania Bucharest Stock Exchange Index and Bulgaria Stock Exchange Index, and the Croatia Zagreb Stock Exchange Index and Polish Warsaw Stock Exchange Index. High correlation and causality relationships, which are also supported by impulse-response and variance decomposition test results, reveal that there is a spillover effect between the stock markets of CEE countries.

Keywords: Stock markets, Pearson correlation, Granger causality test, COVID-19 pandemic period, CEE countries
JEL Classification : C58 , F30 , F31

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APA

Öner, S., Öner, H., & Kılıç Satıcı, H. (2022). Spillover Effects of Stock Markets in the COVID-19 Pandemic Period: Evidence From Central and East European Countries. Istanbul Journal of Economics, 72(1), 211-238. https://doi.org/10.26650/ISTJECON2021-994570


AMA

Öner S, Öner H, Kılıç Satıcı H. Spillover Effects of Stock Markets in the COVID-19 Pandemic Period: Evidence From Central and East European Countries. Istanbul Journal of Economics. 2022;72(1):211-238. https://doi.org/10.26650/ISTJECON2021-994570


ABNT

Öner, S.; Öner, H.; Kılıç Satıcı, H. Spillover Effects of Stock Markets in the COVID-19 Pandemic Period: Evidence From Central and East European Countries. Istanbul Journal of Economics, [Publisher Location], v. 72, n. 1, p. 211-238, 2022.


Chicago: Author-Date Style

Öner, Selma, and Hakan Öner and Hande Kılıç Satıcı. 2022. “Spillover Effects of Stock Markets in the COVID-19 Pandemic Period: Evidence From Central and East European Countries.” Istanbul Journal of Economics 72, no. 1: 211-238. https://doi.org/10.26650/ISTJECON2021-994570


Chicago: Humanities Style

Öner, Selma, and Hakan Öner and Hande Kılıç Satıcı. “Spillover Effects of Stock Markets in the COVID-19 Pandemic Period: Evidence From Central and East European Countries.” Istanbul Journal of Economics 72, no. 1 (Jun. 2023): 211-238. https://doi.org/10.26650/ISTJECON2021-994570


Harvard: Australian Style

Öner, S & Öner, H & Kılıç Satıcı, H 2022, 'Spillover Effects of Stock Markets in the COVID-19 Pandemic Period: Evidence From Central and East European Countries', Istanbul Journal of Economics, vol. 72, no. 1, pp. 211-238, viewed 7 Jun. 2023, https://doi.org/10.26650/ISTJECON2021-994570


Harvard: Author-Date Style

Öner, S. and Öner, H. and Kılıç Satıcı, H. (2022) ‘Spillover Effects of Stock Markets in the COVID-19 Pandemic Period: Evidence From Central and East European Countries’, Istanbul Journal of Economics, 72(1), pp. 211-238. https://doi.org/10.26650/ISTJECON2021-994570 (7 Jun. 2023).


MLA

Öner, Selma, and Hakan Öner and Hande Kılıç Satıcı. “Spillover Effects of Stock Markets in the COVID-19 Pandemic Period: Evidence From Central and East European Countries.” Istanbul Journal of Economics, vol. 72, no. 1, 2022, pp. 211-238. [Database Container], https://doi.org/10.26650/ISTJECON2021-994570


Vancouver

Öner S, Öner H, Kılıç Satıcı H. Spillover Effects of Stock Markets in the COVID-19 Pandemic Period: Evidence From Central and East European Countries. Istanbul Journal of Economics [Internet]. 7 Jun. 2023 [cited 7 Jun. 2023];72(1):211-238. Available from: https://doi.org/10.26650/ISTJECON2021-994570 doi: 10.26650/ISTJECON2021-994570


ISNAD

Öner, Selma - Öner, Hakan - Kılıç Satıcı, Hande. “Spillover Effects of Stock Markets in the COVID-19 Pandemic Period: Evidence From Central and East European Countries”. Istanbul Journal of Economics 72/1 (Jun. 2023): 211-238. https://doi.org/10.26650/ISTJECON2021-994570



TIMELINE


Submitted13.09.2021
Accepted13.12.2021
Published Online24.05.2022

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