Revista OEconomica

Iulian-Gabriel IONESCU, Mariam BALINT, Gabriel-Robert SAIU - An Inquiry into the Determinants of Stock Market Performance in CEE: A Dual Approach Based on ARDL and Quantile Regression

Ioana Anastasia MUŞAT - Detecting Speculative Bubbles and Contagion Dynamics in the European Technology Sector [Detectarea bulelor speculative şi analiza contagiunii în sectorul tehnologic european]

Laura PREDA - Determining the Socio-Economic Factors of Home Ownership Across Europe

Maria Cristina DRĂGUŢESCU, Esra CADÎR, Rebecca Elena APOSTOLESCU - The European Union and the Innovation and Competitiveness Gap Vis-à-Vis the United States [Uniunea Europeană şi decalajul de inovaţie şi competitivitate faţă de SUA]

Iulian Cezare DEDIU - Economic Warfare: Analyzing the Use of Sanctions in Geopolitical Conflicts [Arma economică: analiza utilizării sancţiunilor în conflictele geopolitice]

Articles on Issue Theme

Iulian-Gabriel IONESCU

Academia de Studii Economice din Bucureşti

Mariam BALINT

Academia de Studii Economice din Bucureşti

Gabriel-Robert SAIU

Academia de Studii Economice din Bucureşti

This paper examines the relationship between key macroeconomic determinants and stock market returns in four Central and Eastern European (CEE) emerging economies – Romania, Poland, Hungary, and the Czech Republic – by jointly applying the Autoregressive Distributed Lag (ARDL) framework and Quantile Regression (QR) techniques. The ARDL approach enables a distinction between short-run and long-run dynamics linking stock returns to exchange rates, inflation, market liquidity, and 10-year government bond yields, revealing stable cointegration relationships across all analysed markets. Complementarily, the QR model captures distributional heterogeneity across market conditions, distinguishing between bearish and bullish phases and uncovering nonlinear and asymmetric effects overlooked by conventional linear methods. The empirical findings indicate a robust and persistent negative impact of domestic currency depreciation on stock market returns across all four countries, with stronger effects observed in lower quantiles associated with periods of financial stress. By contrast, the influence of inflation, bond yields, and market liquidity exhibits substantial cross-country heterogeneity, reflecting structural and institutional differences among markets. Overall, the results suggest partial informational efficiency, characterized by delayed and context-dependent responses to macroeconomic shocks, a feature typical of emerging economies. Furthermore, the evidence points to a more advanced level of stock market development in Poland and the Czech Republic, while also offering a cautiously optimistic outlook regarding the efficiency of capital markets in Romania and Hungary. The findings carry relevant implications for policymakers, monetary authorities, and investors concerned with the resilience and adjustment mechanisms of CEE financial markets.

ŒCONOMICA no. 3/2025

Keywords: Central and Eastern Europe, stock market returns, macroeconomic determinants, ARDL models, quantile regression, emerging markets

JEL: E31, E43, E44, E47, E66

An Inquiry into the Determinants of Stock Market Performance in CEE: A Dual Approach Based on ARDL and Quantile Regression

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