A Meta-Analysis-Based Approach for Examining Financial Contagion with Special Emphasis on CEE Economies

This paper provides an insight into the realm of financial contagion, and applies a meta-analytical approach to focus on Central and Eastern European (CEE) economies. Our results show that, on average, asset market correlations have increased, albeit moderately, during turbulent periods as compared to more tranquil times. The selected financial crises are found to vary in terms of their contagiousness. Interestingly, the level of development in a given country is not shown to significantly influence the susceptibility to contagion. Our testing of CEE transition economies indicates that, relative to the sample average, they are less susceptible to financial contagion. An interesting finding relating to CEE transition countries is that they seem to have been affected mostly by crises originating in the United States, even though we have also considered crises originating in Russia and the Czech Republic in the sample.