Analysis of contagion between energy and CEE financial markets

This work analyzes the contagion effects between energy and CEE financial markets during the two crisis periods (global financial crisis 2008-2009 and energy market crisis 2014), using a sample of daily data from 2004 till 2015. We detect contagion by observing the degree and structure of two dummy variables for specified crisis periods included into the quantile regression models on the basis of a dependence measure called "coexceedances". Our results show that there are significant contagion effects present between the gasoil and CEE stock markets during the 2008-2009 period and mixed evidence of contagion between crude oil market and CEE stock markets. CEE stock markets do not appear to exhibit significant contagion effects with energy markets during the recent energy market crisis. These results substantially differ from those found in the developed European markets. In particular, our results indicate that energy markets and stock markets in developed Europe seem to display significant contagion effects during the 2014-2015 period. Keywords: Central and Eastern Europe, contagion, energy market, quantile regressio