The Effect of the Pandemic and the War in Ukraine on the Riskiness of Financial Investments in Three Central European Countries

The Effect of the Pandemic and the War in Ukraine on the Riskiness of Financial Investments in Three Central European Countries

The COVID pandemic and the war in Ukraine are extraordinary events causing excessive turbulence in financial markets. Considering the leptokurtic and heteroscedastic properties of returns on financial assets, we examine the suitability of several alternatives for modeling returns to choose the most...

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Bibliographic Details
Published in:Eastern European economics Vol. 62; no. 4; pp. 409 - 428
Main Authors: Van Tran, Quang, Malek, Jiri
Format: Journal Article
Language:English
Published: Abingdon Routledge 03-07-2024
Taylor & Francis Ltd
Subjects:
Assets
Central European countries
COVID pandemic
GARCH model
Investments
Pandemics
Property
Securities markets
Stock exchanges
VaR and CVaR
War
war in Ukraine
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Summary:The COVID pandemic and the war in Ukraine are extraordinary events causing excessive turbulence in financial markets. Considering the leptokurtic and heteroscedastic properties of returns on financial assets, we examine the suitability of several alternatives for modeling returns to choose the most suitable option to compute the VaR and CVaR for returns of three stock market indices as well as euro exchange rates in Czechia, Poland, and Hungary. Using an appropriate test, we evaluate how the two metrics of VaR and CVaR changed during the pandemic and the war in Ukraine up to June 2022.
ISSN:0012-8775
1557-9298
DOI:10.1080/00128775.2023.2278809