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Linear and Nonlinear Effects in Connectedness Structure: Comparison between European Stock Markets

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dc.abstract.enThe purpose of this research is to compare the risk transfer structure in Central and Eastern European and Western European stock markets during the 2007–2009 financial crisis and the COVID-19 pandemic. Similar to the global financial crisis (GFC), the spread of coronavirus (COVID-19) created a significant level of risk, causing investors to suffer losses in a very short period of time. We use a variety of methods, including nonstandard like mutual information and transfer entropy. The results that we obtained indicate that there are significant nonlinear correlations in the capital markets that can be practically applied for investment portfolio optimization. From an investor perspective, our findings suggest that in the wake of global crisis and pandemic outbreak, the benefits of diversification will be limited by the transfer of funds between developed and developing country markets. Our study provides an insight into the risk transfer theory in developed and emerging markets as well as a cutting-edge methodology designed for analyzing the connectedness of markets. We contribute to the studies which have examined the different stock markets’ response to different turbulences. The study confirms that specific market effects can still play a significant role because of the interconnection of different sectors of the global economy.
dc.affiliationUniwersytet Warszawski
dc.contributor.authorUrjasz, Szczepan
dc.contributor.authorKarkowska, Renata
dc.date.accessioned2024-01-25T05:11:33Z
dc.date.available2024-01-25T05:11:33Z
dc.date.issued2022
dc.description.financeŚrodki finansowe, o których mowa w art. 365 pkt. 2 ustawy
dc.description.number2
dc.description.volume24
dc.identifier.doi10.3390/E24020303
dc.identifier.issn1099-4300
dc.identifier.urihttps://repozytorium.uw.edu.pl//handle/item/111280
dc.identifier.weblinkhttps://www.mdpi.com/1099-4300/24/2/303/pdf
dc.languageeng
dc.pbn.affiliationeconomics and finance
dc.relation.ispartofEntropy
dc.relation.pages303
dc.rightsClosedAccess
dc.sciencecloudnosend
dc.subject.enstock market
dc.subject.enmarket connectedness
dc.subject.enmutual information
dc.subject.entransfer entropy
dc.subject.enCOVID-19
dc.subject.encrisis
dc.titleLinear and Nonlinear Effects in Connectedness Structure: Comparison between European Stock Markets
dc.typeJournalArticle
dspace.entity.typePublication