Search results

1

Comovements of stock markets in Visegrad countries in years 2004-2017

100%

Grabowski W.

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu

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2018

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issue 519

88-98

EN

In this paper comovements of stock markets in the Visegrad countries in years 2004-2017 are analysed. Parameters of the VEC-GARCH-BEKK model are estimated. Results of the empirical study indicate that stock returns in Poland, the Czech Republic and Hungary were sensitive to stock returns of DAX. Moreover, investors analysed performance of stock markets in the whole group of Visegrad countries, when deciding to buy or sell stocks from one market (in Warsaw, Prague or Budapest). Results of the analysis of the shocks’ transmission mechanism and the volatility transmission mechanism indicate that especially shocks coming from the German stock market strongly affected volatilities of the rates of return in the Visegrad countries.

2

Contagion between selected European indexes during the Covid-19 pandemic

100%

Gurgul H., Syrek R.

Operations Research and Decisions

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2023

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vol. 33

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issue 1

EN

The main aim of this study is to examine dynamic dependence and proof of contagion during the Covid-2019 pandemic. The empirical data are daily prices from six European indexes. The FTSE, DAX and CAC indexes represent the largest and most developed stock markets in Europe, while the Austrian ATX index represents small developed markets. The WIG and BUX indexes represent emerging European markets. This empirical study, based on the Dynamic Conditional Correlation model, which is applied to different pairs of indexes, aims to convince the reader of the increase in the correlation between the time of the pandemic (after 30 December 2019) and the period before the beginning of the pandemic. For all pairs, the mean value of the conditional correlations in the pre-Covid period was statistically below the values in the Covid period. The results indicate contagion in Europe after the outbreak of the Covid-2019 pandemic.

3

Developing a General Scale for Testing the Amount of the Individual’s Susceptibility to Performance Contagion

100%

Ahmadi F.

The New Educational Review

|

2016

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vol. 45

17-27

EN

Performance contagion is an environmental influential factor that leads to change in the performance of a person who is susceptible to contagion. For the purpose of constructing a conceptual model of employees’ susceptibility to job performance contagion, a general scale for testing the amount of the individual’s susceptibility to performance contagion was developed in the present study. This scale was used in developing a questionnaire. Then the questionnaire was distributed to the 187 non-teaching staff of the Science and Research branch of Islamic Azad University and its validity, reliability, constructrelated evidence and contentrelated evidence were studied.

4

Crisis Periods, Contagion and Integration Effects in the Major African Equity Markets During the 2007-2009 Global Financial Crisis

88%

Labuschagne C., Majewska E., Olbryś J.

Optimum. Studia Ekonomiczne

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2016

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vol. 5(83)

EN

A number of studies assert that during critical events cross-market correlations change substantially. The main focus of this paper is to explicitly test two research hypotheses concerning the effect of increasing cross-market correlations in the 2007-2009 Global Financial Crisis (GFC) compared to the pre-crisis period. These hypotheses state that there was no contagion and no integration effects among the U.S., the U.K., and selected African stock markets (South Africa, Namibia, Egypt, Nigeria, Morocco and Kenya) during the GFC. The crisis periods are formally detected using a statistical method of dividing market states into bullish and bearish markets. The sample period begins in January 2003 and ends in December 2013, and it includes the 2007 U.S. subprime crisis. Obtained results indicate that there is no reason to reject both research hypotheses. Moreover, the results confirm a heterogeneity of the African equity markets in the context of the influence of the recent global crisis.

5

Spatial contagion between stock markets in Central Europe

88%

Czapkiewicz A., Wójtowicz T.

Managerial Economics

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2017

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vol. 18

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issue 1

23-46

EN

In this paper, we investigate contagion between three European stock markets: those in Frankfurt, Vienna, and Warsaw. Two of them are developed markets, while the last is an emerging market. Additionally, the stock exchanges in Vienna and Warsaw are competing markets in the CEE region. On the basis of daily and intraday returns, we analyze and compare the dependence between the major indices of these markets during calm and turbulent periods. A comparison of the dependence in the tail and in the central part of the joint distribution of returns (via a spatial contagion measure) indicates strong contagion among the analyzed markets. Additionally, the application of a conditional contagion measure indicates the importance of taking into account the situation on other markets when contagion between two markets is considered.

6

The Co-movement Between Returns of Foreign Exchange Rates in the Central European Countries

88%

Doman M., Poznań University of Economics C. o. A. M.

Acta Universitatis Lodziensis. Folia Oeconomica

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2005

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vol. 192

PL

Analiza korelacji warunkowych między zwrotami kursów walutowych daje nam istotną informację na temat współzależności pomiędzy rynkami walutowymi. W niniejszym artykule opisujemy ten rodzaj zależności w przypadku rynków walutowych w krajach Europy Centralnej, posługując się modelem dynamicznych korelacji warunkowych (DCC), wprowadzonym przez Engle’a. Badamy zmiany w poziomie korelacji warunkowych między kursami analizowanych walut względem euro i dolara amerykańskiego, w okresach stabilności rynków i w okresach kryzysów. Uzyskane wyniki wskazują, że analizowane kursy walutowe podążają za odpowiadającymi kursami euro. Otrzymujemy również pewne wyniki dotyczące efektu zarażania pomiędzy rozważanymi rynkami.

EN

The analysis of conditional correlations between returns of foreign exchange rates gives us significant information about co-movement between different currency markets. In the paper, we model this kind of dependency in the case of currency markets in Central European countries using Engle’s DCC models. We investigate the changes in the level of conditional correlations during stability and crisis periods. In this context we try to find the evidence of the contagion effect in the considered region.

7

HYBRID WAR(FARE): THE CHALLENGE OF CONTAGION

88%

Tyushka A.

Torun International Studies

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2019

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issue 12

5-29

EN

Whereas scholarly accounts have mushroomed, especially since 2014, on what a ‘hybrid warfare’ is and is not, the phenomenon has taken a centerstage in international politics, thus confidently entering the everyday political vocabularies and practices in a growing number of states and societies worldwide. Drawing on the recent evidence of spatial and temporal diffusion of hybrid warfare theatres, this article argues that hybrid wars are highly contagious, thus prone to substantially challenge the international order, its normative and structural foundations. It therefore aims to explore the trends in the ideational spread and political uses of both hybrid warfare methods as well as the proliferating instances of hybrid wars fought across the globe. Finally, drawing on the empirical evidence and scholarly achievements in related fields of study, the article offers explanatory account of the mechanisms, conditions and dimension of hybrid war(fare) contagion. Among other featured cases, Russia’s hybrid war(fare) campaigns in Ukraine, Europe and further afield are employed as illustrative ‘archetypal’ cases.

8

The “dangerous others” : spiritual energy and contagion

75%

Bužeková T.

Český lid: etnologický časopis (Český lid: Ethnological journal)

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2020

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vol. 107

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issue 2

123-147

EN

The paper addresses representations of danger in the spiritual sphere in contemporary society in Slovakia by exploring the specific case of neoshamanic groups. This argument is based on Mary Douglas’s theory and the representations of spiritual practices are interpreted in relation to the particular social context. I present the results of ethnographic research conducted in Bratislava. I argue that in the neo-shamans’ interpretations of spiritual healing the notion of contagion serves as a signal of danger and indicates “wrong” beliefs and behaviour. Their reasoning is centred around altered states of consciousness (ASC) linked to the concept of energy. Neo-shamans represent shamanic healing as a moral act. However, rivalry between experts results in mutual blaming: “wrong” practice results in harm caused by the influence of negative energy. My interpretation is complemented by the results of a preliminary survey of articles in selected Christian media addressing the theme of alternative spirituality. They define Christianity as the only true spiritual path and condemn practitioners of all non-Christian spiritual techniques involving ASC, the reason being that any spiritual healing, including neo-shamanism, opens the way for contagious evil forces. The harmful effect is therefore associated with contagion and is ascribed to the practices of “others” both in the context of alternative spirituality and in the context of Christian media.

9

Contagion effects on capital and forex markets around GFC and COVID-19 crises. A comparative study

75%

BRANIA K., GURGUL H.

Operations Research and Decisions

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2021

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vol. 31

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issue 2

59-92

EN

The spread of crises across the financial and capital markets of different countries has been studied. The standard method of contagion detection is based on the evolution of the correlation matrix for the example of exchange rates or returns, usually after removing univariate dynamics with the GARCH model. It is a common observation that crises that have occurred in one financial market are usually transmitted to other financial markets/countries simultaneously and that they are visible in different financial variables such as returns and volatility which determine probability distribution. The changes in distributions can be detected through changes in the descriptive statistics of, e.g., returns characterised by expected value, variance, skewness, kurtosis, and other statistics. They determine the shape of the distribution function of returns. These descriptive statistics display dynamics over time. Moreover, they can interreact within the given financial or capital market and among markets. We use the FX currency cluster represented by some of the major currencies and currencies of the Višegrad group. In analysing capital markets in terms of equity indexes, we chose developed markets, such as DAX 30, AEX 25, CAC 40, EURSTOXX 50, FTSE 100, ASX 200, SPX 500, NASDAQ 100, and RUSSEL 2000. We aim to check the changes in descriptive statistics, matrices of correlation concerning exchange rates, returns and volatility based on the data listed above, surrounding two crises: the global financial crisis (GFC) in 2007–2009 and Covid 2019.

10

Zarażenie w systemie bankowym – przyczyny i mechanizmy

63%

Lubiński M.

Prace i Materiały Instytutu Rozwoju Gospodarczego SGH

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2014

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vol. 94: Polityka gospodarcza jako gra w wyzwania i odpowiedzi rozwojowe

129-152

PL

Celem opracowania jest analiza przyczyn i mechanizmów zarażenia w systemie bankowym. Uwzględnione zostały trzy rodzaje szoków. Pierwszym z nich jest panika bankowa, powodowana zarówno przez zdarzenia losowe, jak i wyrastająca z czynników fundamentalnych. Pokazano, dlaczego tego typu zakłócenia rozprzestrzeniają się następnie w systemie i od czego zależy jego wrażliwość. Drugi typ szoków związany jest z dostosowaniami w bilansach banków. Wzajemne powiązanie portfeli banków prowadzi do zarażenia. I w końcu zarażenie powstaje na międzybankowym rynku pieniężnym i rozprzestrzenia się za pośrednictwem łączących banki sieci. O sile zarażenia w znacznej mierze decyduje charakter tych powiązań.

EN

The text analyzes the causes and mechanizm of contagion in banking system. Three kinds of shocks are considered. First of them is banking panics caused by random shocks as well by fundamental factors. It has been shown why this kind of disturbences is then disperced across the whole system. The second kind of shocks is clesely linked to adjustments of bank balance sheets. The interconection of bank potrtfolios lead to contagion. And last but not least contagion is created in the interbank money market. The reliance of banks on short –term wholesale funds is among the posible sources of finacial linkages which create networks. Character of this networks determines the sensivity of the whole system on the disturbing factors.

11

Międzybankowy rynek pieniężny i zarażenie

51%

Lubiński M.

Gospodarka Narodowa. The Polish Journal of Economics

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2013

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vol. 264

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issue 5-6

19-41

EN

The article analyzes the role of the interbank money market during financial crises. The research method used by the author includes a critical review of theoretical literature and empirical studies. Recently various publications have suggested that the failure of some institutions may have been brought about by banks and their excessive reliance on wholesale funds, the author says. Well-functioning interbank markets effectively channel liquidity from institutions with a surplus of funds to those in need, allowing for more efficient financial intermediation. Financial institutions worldwide have increasingly relied on wholesale funding to supplement demand deposits as a source of funds, thus becoming vulnerable to a sudden dry-up of these sources of funds. The reliance of financial institutions worldwide on short-term wholesale funds is among the possible sources of financial linkages, in addition to common portfolio investors and herding. For many years, the unsecured interbank market has been considered the archetype of an efficient market. Nevertheless, during the latest financial crisis, many of the certainties concerning interbank markets suddenly disappeared. The article reviews the most significant literature on some externalities and their effect on money market malfunctioning. One of the many striking features of the 2007-2009 crisis was a sudden freeze in the market for the rollover of short-term debt due to changes in investor behavior. The common aspects of investor behavior across crisis episodes indicate that they involved Knightian uncertainty (i.e., immeasurable risk) and not merely an increase in risk exposure, the author says. He adds that uncertainties in the financial system were transmitted to the real economy after the collapse of Lehman Brothers as expectations of future credit tightening, higher precautionary savings and the postponement of investment took a sudden and widespread toll on global demand.

PL

Przedmiotem analizy w artykule jest rola międzybankowego rynku pieniężnego w czasie kryzysu finansowego. Zastosowaną metodą badawczą jest krytyczny przegląd literatury teoretycznej i badań empirycznych. Ostatnio literatura sugeruje, że uzależnienie banków od hurtowego rynku pieniężnego może stać za trudnościami wielu z nich. Sprawny rynek międzybankowy zapewnia efektywny transfer płynności od podmiotów nadwyżkowych do deficytowych, umożliwiając skuteczniejsze pośrednictwo. Ponadto banki powszechnie w coraz większym stopniu polegały na rynku hurtowym jako uzupełnieniu depozytów na żądanie jako źródła finansowania. Powszechne uzależnienie banków od krótkookresowych środków hurtowego rynku pieniężnego uczyniło z niego, obok podobieństwa portfela i zachowań stadnych, jedno z potencjalnych źródeł zarażenia Przez wiele lat nieubezpieczony rynek międzybankowy traktowany był jako wzorcowy przykład rynku efektywnego. Tym niemniej w czasie ostatniego kryzysu finansowego wiele, wydawałoby się niepodważalnych, pewników zostało obalonych. Dlatego w artykule dokonano przeglądu literatury zarówno na temat efektów zewnętrznych, jak i skutków zakłóceń w funkcjonowaniu rynków pieniężnych. Jedną z najbardziej uderzających cech kryzysu było, wynikające ze zmiany zachowania inwestorów, zamrożenie rolowania długu krótkookresowego. Wspólnym rysem zachowania inwestorów w czasie epizodów kryzysowych był nie tyle wzrost ich ekspozycji na ryzyko, ile raczej uwzględnienie niepewności w sensie Knighta jako niemierzalnego ryzyka. Powoduje to między innymi uwzględnienie w postępowaniu najbardziej pesymistycznego scenariusza. Niepewność z systemu finansowego zwłaszcza po upadku Lehman Brothers była następnie transmitowana do sfery realnej gospodarki za pośrednictwem spodziewanego zacieśnienia akcji kredytowej, ostrożnościowych oszczędności oraz odroczenie inwestycji, co w sumie złożyło się na ograniczenie popytu.

Refine search results

Comovements of stock markets in Visegrad countries in years 2004-2017

Contagion between selected European indexes during the Covid-19 pandemic

Developing a General Scale for Testing the Amount of the Individual’s Susceptibility to Performance Contagion

Crisis Periods, Contagion and Integration Effects in the Major African Equity Markets During the 2007-2009 Global Financial Crisis

Spatial contagion between stock markets in Central Europe

The Co-movement Between Returns of Foreign Exchange Rates in the Central European Countries

HYBRID WAR(FARE): THE CHALLENGE OF CONTAGION

The “dangerous others” : spiritual energy and contagion

Contagion effects on capital and forex markets around GFC and COVID-19 crises. A comparative study

Zarażenie w systemie bankowym – przyczyny i mechanizmy

Międzybankowy rynek pieniężny i zarażenie