Naslov
Economic policy uncertainty and stock market spillovers: case of selected CEE markets

Autori
Škrinjarić, Tihana ; Orlović, Zrinka

Izvornik
Mathematics (2227-7390) 8 (2020), 7; 1-33

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
economic policy uncertainty ; spillover index ; emerging stock markets ; dynamic analysis

Sažetak
Rising political and economic uncertainty over the world affects all of the participants on different markets, including stock markets. Recent research has shown that these effects are significant and should not be ignored. This paper estimates the spillover effects of shocks in the Economic Policy Uncertainty (EPU) index and stock market returns and risks for selected Central and Eastern European markets (Bulgaria, Czech Republic, Estonia, Hungary, Lithuania, Poland, Croatia, Slovakia and Slovenia). Based on rolling estimations of VAR model and the Spillover Indices of Diebold and Yilmaz (2009, 2012), detailed insights are obtained on the sources of shock spillovers between the variables in the system. Recommendations are given based on the results both for policymakers and international investors. The contribution of the paper consists of the dynamic estimation approach, alongside allowing for the feedback relationship between the variables of interest, as well as examining the mentioned spillovers for the first time for majority of the observed countries.

Izvorni jezik
Engleski

Znanstvena područja
Matematika, Ekonomija

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