Skip to main content
Article thumbnail
Location of Repository

Changes in Stock Markets Interdependencies as a Result of the Global Financial Crisis: Empirical Investigation on the CEE Region

By Cristiana Tudor


This paper investigates causal relationships and short-term interaction mechanisms among six Central and Eastern European stock markets and the USA stock exchange, while paying special consideration to the effects of the 2007-2009 global financial crisis. We employ daily observations for the six CEE stock indexes and also for the US market covering the period January 2006-March 2009, which is subsequently divided into two sub-periods corresponding to the pre-crisis and crisis period. The study reveals that the relationships among CEE stock markets are time varying. While before the crisis stock market linkages are limited, we find that during crisis these interactions become significantly stronger. Our results further suggest that the potential for diversifying risk by investing in different CEE markets is limited during financial turmoil. Other findings reveal the leading role of the Russian market in the CEE regionbefore the crisis. Also, before the crisis CEE markets were significantly influenced by innovations in the USA market, thus explaining why they were affected heavily by the crisis, which has managed to spread immediately in the region.VAR analysis, Granger causality, Impulse response, Crisis, CEE stock markets

OAI identifier:

Suggested articles


  1. (2010). Time-shift Asymmetric Correlation Analysis of
  2. (1999). Exchange Rate Regime,
  3. (1997). Price and Volatility Spillovers in
  4. (2005). Modeling Equity Market Integration Using Smooth Transition Analysis: A Study of
  5. (2002). Stock Market Linkages: Evidence from
  6. (2008). Measuring Financial Market Interdependence and Assessing Possible Contagion Risk in the EMEAP Region.” Hong Kong Monetary Authority Working Paper 0818.
  7. (1997). Stock Returns and Volatility in Emerging Financial Markets.”
  8. Contagion in Global Equity Markets in 1998: The Effects of the Russian and
  9. (2002). Financial Market Integration
  10. (2011). Glezakos, Michalis, Anna Merika, and Haralambos Kaligosfiris.
  11. (1969). Investigating Causal Relations by Economic Models and Crossspectral Methods.”
  12. (2010). The Co-movement of Stock Markets in East Asia. Did the 1997–1998
  13. (2001). Dynamic Interdependence and Volatility Transmission of Asian Stock Markets: Evidence from the Asian Crisis.” International Review of Financial Analysis,
  14. (2010). Empirical Analysis of Conditional Heteroskedasticity
  15. (1995). Is the Correlation in International Equity Returns Constant: 1960–1990?”
  16. (2008). Russian Equity Market Linkages before and after the
  17. (2010). Asymmetric Conditional Volatility Models: Empirical Estimation and
  18. (1993). Financial Markets and Growth: An Overview.”
  19. (1989). The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis.”
  20. (1994). Trend, Unit Root and Structural Change Macroeconomic Time Series.”
  21. (2000). A Study of Co-integration and Variance Decomposition among National Equity Indices before and during the Period of the Asian Financial Crisis.”
  22. (2011). 543 Changes in Stock Markets Interdependencies as a Result of the Global Financial Crisis:
  23. (1994). Hourly Volatility Spillovers between
  24. (2009). Price Ratios and the Cross-section of Common Stock Returns on Bucharest Stock Exchange: Empirical Evidence."
  25. (2001). Sources of Contagion: Is It Finance or Trade?”
  26. (2003). Stock Market Integration and Financial Crises: The Case of

To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.