Short-Term Shocks Between Central European Stock Markets: An Approach During The 2020 and 2022 Events

Rui Manuel Teixeira Dias; Mariana Chambino; Nicole Rebolo Rebolo Horta

doi:10.58567/jea02030005

Authors

Rui Dias Center for Studies and Advanced Training in Management and Economics (CEFAGE), University of Évora, Portugal and Accounting and Finance Department, ESCE, Instituto Politécnico de Setúbal, Setúbal, Portugal https://orcid.org/0000-0002-6138-3098
Mariana Chambino Accounting and Finance Department, ESCE, Instituto Politécnico de Setúbal, Setúbal, Portugal https://orcid.org/0000-0002-9444-3333
Nicole Horta Accounting and Finance Department, ESCE, Instituto Politécnico de Setúbal, Setúbal, Portugal https://orcid.org/0000-0003-0879-6691

DOI:

https://doi.org/10.58567/jea02030005

Keywords:

Events of 2020 and 2022, Stock markets, Co-movements, Portfolio diversification

Abstract

Stock indexes are used as a barometer of economic health, and fluctuations in these markets can have a substantial influence on the economy. For example, the Covid-19 pandemic caused severe economic disruption, as reflected in stock market indexes. Similarly, Russia's invasion of Ukraine has geopolitical implications that might undermine global trade and economic stability, impacting stock market indexes. Considering these developments, the purpose of this article is to examine the co-movements of the stock markets of Austria (ATX), Poland (WIG), the Czech Republic (PX Prague), Hungary (BUX), Croatia (CROBEX), Serbia (BELEX 15), Romania (BET), and Slovenia (SBI TOP) from February 16, 2018, to February 15, 2023. To achieve the research objectives, the aim is to answer the following research question: i) Have the events of 2020 and 2022 accentuated the co-movements between the stock markets in Central Europe? The results show the presence of 21 shocks between markets (out of a potential 56) during the Tranquil subperiod, with the WIG stock index having a greater predictive influence on the behavior of its peers (4 shocks out of 7 possible). During the Stress subperiod, 45 shocks were confirmed (out of 56 possible). The markets that triggered the most market shocks (7 out of 7 possibilities) were BET, BUX, CROBEX, and SBI TOP. The research question was validated based on the conclusion supplied, as all markets increased their movements, showing a considerable effect of the 2020 and 2022 events on these markets.

Author Biographies

Rui Dias, Center for Studies and Advanced Training in Management and Economics (CEFAGE), University of Évora, Portugal and Accounting and Finance Department, ESCE, Instituto Politécnico de Setúbal, Setúbal, Portugal

Rui Manuel Teixeira Santos Dias. Post-Ph.D in Econophysics at the State University of Feira de Santana, Department of Exact Sciences, Ph.D in Finance at the University of Évora - Institute for Research and Advanced Training. He is currently Guest Adjunct Professor at the School of Business Sciences - Polytechnic Institute of Setúbal and Researcher (Integrated Member) at the Center for Advanced Studies in Management and Economics(CEFAGE), University of Évora.

Mariana Chambino, Accounting and Finance Department, ESCE, Instituto Politécnico de Setúbal, Setúbal, Portugal

Master's Degree in Accounting and Finance from School of Business Science at the Polytechnic Institute of Setúbal. Graduated in Accounting and Finance from School of Business Sciences, in the Polytechnic Institute of Setubal.

Nicole Horta, Accounting and Finance Department, ESCE, Instituto Politécnico de Setúbal, Setúbal, Portugal

Master's Degree in Accounting and Finance in the School of Business Science at the Polytechnic Institute of Setubal. Graduated in Management ISCTE - Business School. Currently she is a project manager at the Lisbon Higher Institute of Engineering (ISEL).

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