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DOI :10.26650/ISTJECON2021-994570   IUP :10.26650/ISTJECON2021-994570    Tam Metin (PDF)

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

Selma ÖnerHakan ÖnerHande 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.

JEL Classification : C58 , F30 , F31

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DIŞA AKTAR



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. İstanbul İktisat Dergisi, 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. İstanbul İktisat Dergisi. 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. İstanbul İktisat Dergisi, [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.” İstanbul İktisat Dergisi 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.” İstanbul İktisat Dergisi 72, no. 1 (Dec. 2022): 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', İstanbul İktisat Dergisi, vol. 72, no. 1, pp. 211-238, viewed 9 Dec. 2022, 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’, İstanbul İktisat Dergisi, 72(1), pp. 211-238. https://doi.org/10.26650/ISTJECON2021-994570 (9 Dec. 2022).


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.” İstanbul İktisat Dergisi, 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. İstanbul İktisat Dergisi [Internet]. 9 Dec. 2022 [cited 9 Dec. 2022];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”. İstanbul İktisat Dergisi 72/1 (Dec. 2022): 211-238. https://doi.org/10.26650/ISTJECON2021-994570



ZAMAN ÇİZELGESİ


Gönderim13.09.2021
Kabul13.12.2021
Çevrimiçi Yayınlanma24.05.2022

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