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The Risk Analysis of Central and Eastern European Stock Markets

Cilt: 8 3 Eylül 2026
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The Risk Analysis of Central and Eastern European Stock Markets

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This article investigates the risk exposure of eight Central and Eastern European markets using monthly data. The study carries out quantitative methods such Semi-Standard Deviation, Beta coefficient, Value at Risk (VaR), GARCH in Mean Models to explain the risk level of each market. The empirical findings demonstrated that investing in CEE capital markets cannot be fully evaluated using only the mean and standard deviation. This is because stock returns are not normally distributed. The GARCH-M model has shown that, except for the Slovak Republic, other stock markets offer higher returns for higher risk. The relationship between expected returns and market risks is weak, according to the betas of CEE markets. The VaR-determined risk levels show that the maximum monthly losses in CEE markets are limited to between 10% and approximately 20%. In general, CEE stocks have lower volatility than average returns. The semi-standard deviation coefficients (downside risk) for all markets are calculated to be smaller than the standard deviation. For this reason, choosing models that calculate downside risks allows for a more detailed measurement of the performance of CEE stock exchanges, compared to models based on total risk.

Anahtar Kelimeler

Central and Eastern European markets, Downside Risks, Volatility

Kaynakça

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Kaynak Göster

APA
Hatipoğlu, M. (2026). The Risk Analysis of Central and Eastern European Stock Markets. BİLTÜRK Journal of Economics and Related Studies, 8, 314-329. https://doi.org/10.47103/bilturk.1984208
AMA
1.Hatipoğlu M. The Risk Analysis of Central and Eastern European Stock Markets. BILTURK. 2026;8:314-329. doi:10.47103/bilturk.1984208
Chicago
Hatipoğlu, Mercan. 2026. “The Risk Analysis of Central and Eastern European Stock Markets”. BİLTÜRK Journal of Economics and Related Studies 8 (Eylül): 314-29. https://doi.org/10.47103/bilturk.1984208.
EndNote
Hatipoğlu M (01 Eylül 2026) The Risk Analysis of Central and Eastern European Stock Markets. BİLTÜRK Journal of Economics and Related Studies 8 314–329.
IEEE
[1]M. Hatipoğlu, “The Risk Analysis of Central and Eastern European Stock Markets”, BILTURK, c. 8, ss. 314–329, Eyl. 2026, doi: 10.47103/bilturk.1984208.
ISNAD
Hatipoğlu, Mercan. “The Risk Analysis of Central and Eastern European Stock Markets”. BİLTÜRK Journal of Economics and Related Studies 8 (01 Eylül 2026): 314-329. https://doi.org/10.47103/bilturk.1984208.
JAMA
1.Hatipoğlu M. The Risk Analysis of Central and Eastern European Stock Markets. BILTURK. 2026;8:314–329.
MLA
Hatipoğlu, Mercan. “The Risk Analysis of Central and Eastern European Stock Markets”. BİLTÜRK Journal of Economics and Related Studies, c. 8, Eylül 2026, ss. 314-29, doi:10.47103/bilturk.1984208.
Vancouver
1.Mercan Hatipoğlu. The Risk Analysis of Central and Eastern European Stock Markets. BILTURK. 01 Eylül 2026;8:314-29. doi:10.47103/bilturk.1984208