engleski

Risk connectedness of selected CESEE stock markets: spillover index approach

This research aims to empirically evaluate risk spillovers between selected CESEE (Central, Eastern and South-Eastern Europe) stock markets via the spillover index methodology within the VAR modelling framework. Investors who are focused on mitigating risk, especially of for international portfolios, should focus on the connectedness between stock markets of interest, in order to achieve diversification possibilities. The empirical analysis for the period of January 2012 – June 2019 indicates that some country risks were the net emitter of shocks in the system (Slovenia and Czech Republic), whereas some were net receivers (Croatia and Ukraine). Results are robust with respect to changing the length of the rolling window analysis, which means that investors could utilize such an approach in the a dynamic portfolio selection.

risk spillovers ; shock spillovers ; developing stock markets ; portfolio diversification

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