Central European Banking Sector Integration and Shocks During the Global Pandemic (COVID-19)

Central European Banking Sector Integration and Shocks During the Global Pandemic (COVID-19)

Pedro Pardal, Rui Dias, Hortense Santos, Cristina Vasco
Copyright: © 2021 |Pages: 17
DOI: 10.4018/978-1-7998-6926-9.ch015
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Abstract

This chapter aims to analyze the impact of the global 2020 pandemic on the banking sectors of the Czech Republic, Hungary, Poland, Romania, Russia, and Slovakia countries in the period from January 2, 2017 to August 10, 2020. The results of the Gregory-Hansen test, in the covid subperiod, show 27 integrations (in 30 possible). When comparing the pre-covid and covid subperiods, the level of integration has increased 386% between markets, which could call into question portfolio diversification, validating the first research question. In corroboration, the authors have verified that the results of Granger's causality tests, in the COVID-19 subperiod, increased significantly. In view of these results and bearing in mind the results of integration, they can show that the crisis caused by the global pandemic of 2020 has increased the synchronization between these regional banking sectors, significantly decreasing the hypothesis of implementing efficient portfolio diversification, thus validating the second research question.
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Literature Review

Understanding the international links between stock markets and investigating the occurrence of financial integration phenomena in the context of stock market crash is important for investors, investment fund managers and academics on several levels, including the diversification of portfolios in an international context (Dias, da Silva, and Dionísio, 2019; Dias, Heliodoro, Teixeira, and Godinho, 2020).

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