The financial crisis and the stock markets of the CEE countries

Renatas Kizys, C. Pierdzioch

Research output: Contribution to journalArticlepeer-review


Stock markets in Central and Eastern European (CEE) countries significantly collapsed during the financial crisis of 2008. We studied whether the collapse of stock markets in CEE countries was due to international linkages of deteriorating fundamentals or international spillovers of speculative bubbles. To this end, we estimated a state-space model to decompose the stock market indexes of three large CEE countries (Czech Republic, Hungary, and Poland) into fundamentals and speculative bubbles. We then used the techniques of cointegration analysis to study the long-run linkages of fundamentals and speculative bubbles. Our results suggest that international long-run linkages varied over time. The long-run linkages with the U.S. stock market strengthened in terms of both fundamentals and speculative bubbles during the market jitters caused by the financial crisis of 2008.
Original languageEnglish
Pages (from-to)153-172
Number of pages20
JournalCzech Journal of Economics and Finance
Issue number2
Publication statusPublished - 2011


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