Contagion in the Central and Eastern Europe during the coronavirus pandemic. Application of the quantile regression




quantile regression, contagion effect, stock market


Background: Stock market contagion in the countries of Central and Eastern Europe in the years 2020–2021 is investigated.

Research purpose: The article evaluates the impact of the coronavirus pandemic, as well as stock and currency market uncertainty on the scale of contagion.

Methods: The quantile regression method is used.

Conclusions: Stock and currency market uncertainty strongly affected the shock transmission mechanism. Categories associated with the coronavirus pandemic were also important drivers of the shock transmission mechanism.


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How to Cite

Grabowski, W. (2021). Contagion in the Central and Eastern Europe during the coronavirus pandemic. Application of the quantile regression. Studia Prawno-Ekonomiczne, 121, 183–200.