The Impact of the Global Pandemic Crisis on East and Central EU Stock Markets

Abstract

Our research is based on an examination of capital market dynamics in four European countries, namely Poland, Romania, Hungary, and the Czech Republic, during the pandemic crisis. The paper is divided into two parts and examines the relationship between macro-financial variables and the major stock market indices of Western European (UK, Germany, and Austria) and Eastern European markets. The analysis is based on the use of the autoregressive vector model (VAR), which shows that during the global pandemic crisis, macroeconomic factors had a significant impact on the financial performance of Eastern European countries' financial markets. In the second part, the correlation of the yields of the stock indices from the countries of Western and Eastern European countries is analyzed, using the multivariate GARCH model.

Keywords

• stock indices
• var model
• conditional correlation
• capital markets
• euro zone