Multiscale non-linear tale risk spillover effect from oil to stocks – The case of East European emerging markets

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dc.contributor.authorZivkov, Dejan
dc.contributor.authorKuzman, Boris
dc.contributor.authorPapic-Blagojevic, Natasa
dc.contributor.otherEkonomická fakultacs
dc.date.accessioned2024-09-06T08:23:16Z
dc.date.available2024-09-06T08:23:16Z
dc.description.abstractThis paper investigates the multiscale non-linear risk transmission effect from Brent oil to eleven European emerging stock markets. Dynamic extreme risk time series are created using the FIAPARCH-CVaR approach. The MODWT transformation is applied to make three wavelet details that represent different time horizons. In the final step, the MODWT time series are fitted into the Markov switching model to examine the spillover phenomenon. The results indicate that the Czech and Hungarian stock markets endure the spillover effect in crisis regime in the short term, probably because these markets are among the most efficient emerging European markets. On the other hand, a relatively high spillover effect is found in a peaceful rather than a crisis regime in the case of Poland. This is probably because the Polish index lists almost 300 stocks, which means that oil shocks disperse to a large number of different industry sectors. In small and less developed markets, such as Estonia, Slovenia, Bulgaria, and Croatia, a high spillover effect exists in a tranquil regime because these countries have high oil consumption per capita. Lithuania and Latvia do not report the spillover effect in the short run, while this is true for all time horizons in the case of Slovakia.en
dc.formattext
dc.identifier.doi10.15240/tul/001/2024-5-015
dc.identifier.eissn2336-5604
dc.identifier.issn1212-3609
dc.identifier.urihttps://dspace.tul.cz/handle/15240/175292
dc.language.isoen
dc.publisherTechnická Univerzita v Libercics
dc.publisherTechnical university of Liberec, Czech Republicen
dc.publisher.abbreviationTUL
dc.relation.ispartofEkonomie a Managementcs
dc.relation.ispartofEconomics and Managementen
dc.relation.isrefereedtrue
dc.rightsCC BY-NC
dc.subjectExtreme risk spillover effecten
dc.subjectconditional value-at-risk (CVaR)en
dc.subjectwavelet methodologyen
dc.subjectBrent oilen
dc.subjectstock marketsen
dc.subject.classificationC58
dc.subject.classificationG12
dc.subject.classificationG32
dc.titleMultiscale non-linear tale risk spillover effect from oil to stocks – The case of East European emerging marketsen
dc.typeArticleen
local.accessopen
local.citation.epage200
local.citation.spage186
local.facultyFaculty of Economics
local.filenameEM_3_2024_12
local.fulltextyes
local.relation.abbreviationE+Mcs
local.relation.abbreviationE&Men
local.relation.issue3
local.relation.volume27
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