Karkowska Renata, Urjasz Szczepan
Faculty of Management, University of Warsaw, Szturmowa Street 1/3, 02-678 Warsaw, Poland.
Entropy (Basel). 2022 Feb 21;24(2):303. doi: 10.3390/e24020303.
The 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.
本研究的目的是比较2007 - 2009年金融危机和新冠疫情期间中东欧和西欧股票市场的风险转移结构。与全球金融危机（GFC）类似，冠状病毒（COVID - 19）的传播造成了显著的风险水平，导致投资者在很短的时间内遭受损失。我们使用了多种方法，包括像互信息和转移熵这样的非标准方法。我们获得的结果表明，资本市场中存在显著的非线性相关性，这些相关性可实际应用于投资组合优化。从投资者的角度来看，我们的研究结果表明，在全球危机和疫情爆发之后，多元化的益处将受到发达国家和发展中国家市场之间资金转移的限制。我们的研究为发达市场和新兴市场的风险转移理论提供了见解，同时也提供了一种用于分析市场关联性的前沿方法。我们为研究不同股票市场对不同动荡的反应做出了贡献。该研究证实，由于全球经济不同部门的相互联系，特定的市场效应仍能发挥重要作用。
