Contagion in the Central and Eastern Europe during the coronavirus pandemic. Application of the quantile regression
DOI:
https://doi.org/10.26485/SPE/2021/121/11Keywords:
quantile regression, contagion effect, stock marketAbstract
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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References
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