Formal Identification of Crises on the Euro Area Stock Markets, 2004–2015

Conference paper
Part of the Springer Proceedings in Business and Economics book series (SPBE)


In this paper, crisis periods on the 19 euro area stock markets are formally detected and explored. A statistical method of dividing market states into bullish and bearish markets based on monthly logarithmic returns of major stock market indexes is employed. The sample period begins on January 2004, ends on December 2015, and includes the 2007–2009 Global Financial Crisis (GFC) and the subsequent euro area crises. Moreover, correctness of formal identification of down market periods is discussed utilizing two methods for verifying the bear market conditions. The empirical results indicate February 2009 as the end of the GFC for almost all countries investigated, except for Slovenia, Lithuania, Malta, Estonia, and Latvia, for which March 2009 is obtained as the end of the GFC. Furthermore, the findings concerning the European crises during the period beginning from late 2009 are in accord with the existing literature.


Eurozone Crisis Periods Market States 


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Copyright information

© Springer International Publishing AG 2017

Authors and Affiliations

  1. 1.University of BialystokBialystokPoland
  2. 2.Bialystok University of TechnologyBialystokPoland

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