Horváth, Roman; Lyócsa, Štefan; Baumöhl, Eduard - 2016
use a novel measure of contagion that examines whether volatility shocks in the U.S. stock market coupled with negative …We examine whether there is contagion from the U.S. stock market to six Central and Eastern European stock markets. We … set of marketrelated variables, we show that during the period from 1998 to 2014, financial contagion occurred, i …
