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• W3179675080 abstract "This paper studies the spread of crises across the financial and capital markets of different countries. 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. In this article, we use the FX currency cluster represented by some of the major currencies and currencies of the Višegrad group, namely EUR/USD, EUR/CHF, USD/CHF, EUR/HUF, EUR/PLN, EUR/CZK, USD/CZK, USD/HUF, USD/PLN, CHF/PLN, CHF/PLN, CHF/CZK, CHF/HUF, PLN/CZK, and PLN/HUF. 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. Our aim is to check the changes in descriptive statistics, matrices of correlation with respect to exchange rates, returns and volatility on the basis of the data listed above, surrounding two crises: the global financial crisis (GFC) in 2007-2009 and Covid 2019." @default.
• W3179675080 created "2021-07-19" @default.
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• W3179675080 date "2021-01-01" @default.
• W3179675080 modified "2023-09-30" @default.
• W3179675080 title "Contagion effects on capital and forex markets around GFC and COVID-19 crises: A comparative study" @default.
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• W3179675080 doi "https://doi.org/10.37190/ord210203" @default.
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