중동부유럽

This paper investigates the impact of global economic crisis and its recovery for the stock markets of sixteen countries. Specifically, this paper analyzes stock markets of eight developed countries (i.e., the U.S., the U.K., Germany, France, Italy, Spain, Japan, and Australia) and eight emerging countries (i.e., China, India, Korea, Russia, Poland, Czech, Hungary, and Bulgaria) using their daily rate of returns on the market indices for the period from July 15, 2004 to July 31, 2010. To examine the impact of global economic crisis and its recovery the period of study is divided into two parts: crisis period from September 15, 2008 to July 31, 2010 and normal period from July 15, 2004 to June 30, 2007. The main results are summarized as follow. First, there were significant changes in the stock return patterns after the crisis by observing decrease in mean return, increase in volatility, increase in skewness, and increase in kurtosis. Second, this paper finds that although the global economic crisis triggered by collapse of Lehman Brothers the crisis continued to affect stock markets of both emerging and developed countries for 6 months. In the country level Bulgaria records the lowest 6 month return, followed by Russia, Hungary, and Czech, indicating that the global economic crisis affected severely Eastern and Central European countries. Third, in the investigation of the market recovery from the crisis, this study finds that the degree of recovery varies significantly across sixteen countries in the sample. In the country level, India, the U.K., Korea, and Poland are countries that made a quicker recovery from the crisis whereas Bulgaria, Italy, and China exhibit slow recovery