HOW THE CONTAGION IS TRANSMITTED TO THE MACEDONIAN STOCK MARKET? AN ANALYSIS OF CO-EXCEEDANCES

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Artan Sulejmani Dragan Tevdovski

Abstract

The aim of the paper is to analyze the transmission of shocks from selected developed and Southeastern European stock markets to the stock market of North Macedonia. Using the Bae, Karolyi, and Stulz (2003) co-exceedance methodology, we find that the probability of contagion from the stock markets of United States, Serbia and Bosnia and Herzegovina to the Macedonian stock market increased during the Global Financial Crisis. Regarding the asset classes, we show that contagion is positively associated with the volatility of Eurostoxx50 index, while negatively with the return of the euro dollar exchange rate and the yield of the 10 year US Treasury Note. The results have important implications for portfolio diversification and the asset allocation decisions of investors.

Article Details

How to Cite
Sulejmani, A., & Tevdovski, D. (2022). HOW THE CONTAGION IS TRANSMITTED TO THE MACEDONIAN STOCK MARKET? AN ANALYSIS OF CO-EXCEEDANCES. The South East European Journal of Economics and Business, 17(1), 1-13. Retrieved from http://journal.efsa.unsa.ba/index.php/see/article/view/1530
Section
Scientific and Professional papers: Economics and Business
Author Biographies

Artan Sulejmani, National Bank of the Republic of Macedonia

Artan Sulejmani, MSc.
Analyst
Monetary Policy and Research Department,
National Bank of the Republic of North Macedonia
Republic of North Macedonia
E-mail: sulejmania@nbrm.mk
ORCID: 0000-0001-6011-8834

Dragan Tevdovski, Faculty of Economics - Skopje, University "Ss. Cyril and Methodius"

Dragan Tevdovski, PhD (corresponding author)
Full-time Professor
Faculty of Economics-Skopje,
Ss. Cyril and Methodius University
Address: Bul. Goce Delcev 9B, 1000, Skopje
Republic of North Macedonia
E-mail: dragan@eccf.ukim.edu.mk
ORCID: 0000-0001-6921-0880