Abstract
The purpose of this paper is to examine the contagion effects of currency crises on several emerging stock markets in Central and Eastern Europe by analysing the behaviour of the time series of stock returns with a Markov-switching model. The focus of the study are the currency crises in the Czech Republic in May 1997, in Asia in Summer 1997 and in Russia in August 1998.
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Linne, T. (2002). A Markov Switching Model of Stock Returns: An Application to the Emerging Markets in Central and Eastern Europe. In: Charemza, W.W., Strzała, K. (eds) East European Transition and EU Enlargement. Contributions to Economics. Physica, Heidelberg. https://doi.org/10.1007/978-3-642-57497-9_23
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DOI: https://doi.org/10.1007/978-3-642-57497-9_23
Publisher Name: Physica, Heidelberg
Print ISBN: 978-3-7908-1501-6
Online ISBN: 978-3-642-57497-9
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