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<p>The aim of the paper is to analyze the transmission of shocks from selected developed and Southeastern European stock markets to the stock market of North Macedonia. Using the Bae, Karolyi, and Stulz (2003) co-exceedance methodology, we find that the probability of contagion from the stock markets of United States, Serbia and Bosnia and Herzegovina to the Macedonian stock market increased during the Global Financial Crisis. Regarding the asset classes, we show that contagion is positively associated with the volatility of Eurostoxx50 index, while negatively with the return of the euro dollar exchange rate and the yield of the 10-year US Treasury Note. The results have important implications for portfolio diversification and the asset allocation decisions of investors.</p>
</abstract>

The aim of the paper is to analyze the transmission of shocks from selected developed and Southeastern European stock markets to the stock market of North Macedonia. Using the Bae, Karolyi, and Stulz (2003) co-exceedance methodology, we find that the probability of contagion from the stock markets of United States, Serbia and Bosnia and Herzegovina to the Macedonian stock market increased during the Global Financial Crisis. Regarding the asset classes, we show that contagion is positively associated with the volatility of Eurostoxx50 index, while negatively with the return of the euro dollar exchange rate and the yield of the 10-year US Treasury Note. The results have important implications for portfolio diversification and the asset allocation decisions of investors.

How the Contagion is Transmitted to the Macedonian Stock Market? an Analysis of Co-Exceedances

Analyst, Monetary Policy and Research Department

South East European Journal of Economics and Business

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

The aim of the paper is to analyze the transmission of shocks from selected developed and Southeastern European stock markets to the stock market of North...

How the Contagion is Transmitted to the Macedonian Stock Market? an Analysis of Co-Exceedances

Publicado en línea: 23 jun 2022

Páginas: 1 - 13

DOI: https://doi.org/10.2478/jeb-2022-0001

Palabras clave
Stock market, co-exceedance, multinomial logit regression, transmission, contagion

© 2022 Artan Sulejmani et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

How the Contagion is Transmitted to the Macedonian Stock Market? an Analysis of Co-Exceedances

Publicado en línea: 23 jun 2022

Páginas: 1 - 13

DOI: https://doi.org/10.2478/jeb-2022-0001

Palabras claveStock market, co-exceedance, multinomial logit regression, transmission, contagion

© 2022 Artan Sulejmani et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Palabras clave
Stock market, co-exceedance, multinomial logit regression, transmission, contagion