| Abstract [eng] |
Volatility shock in financial markets reflects sudden and unexpected increases in fluctuations that raise uncertainty and risk, making them particularly important for investors, risk managers, and the assessment of market stability. However, volatility shock manifests unevenly across different global financial markets – factors causing a shock in large and developed markets do not necessarily operate in the same way in smaller and structurally different markets. The Baltic stock market, being small and open, is particularly sensitive to external economic and geopolitical disturbances; therefore, the identification of factors determining volatility shock is important both for the assessment of market stability and for investment decisions. The aim of the study is to analyze the theoretical assumptions of volatility shock formation in stock markets, examine the volatility observed in the Baltic stock market and its sectors, and identify the factors determining volatility shock. The first part of the thesis examines the issue of financial market volatility, defines the concept of volatility shock, its factors, and its significance for investors. The second part analyzes the theoretical aspects of volatility shock – discussing the assumptions of its formation, its categories, the factors determining volatility shock identified in scientific literature, and the methods of its evaluation. The third part presents the research methodology and defines the data. The research period covers 2015 2025. The analysis is conducted using GARCH-EVT and binary logistic regression methods, assessing how the change in the 3-month Euribor interest rate, the European Economic Policy Uncertainty Index, the change in the EUR/USD exchange rate, the weighted average GDP growth of the Baltic countries, the Brent oil price shock, the COVID-19 period, and the onset of the Russia Ukraine and Israel-„Hamas“ wars affect the probability of volatility shock formation in the OMX Baltic Benchmark GI, OMX Baltic Financials GI, OMX Baltic Industrials GI, and OMX Baltic Real Estate GI indices. The fourth part presents the empirical research results. It was found that the volatility of Baltic stock indices was characterized by uneven intensity: in the financial sector, shock episodes were rarer but longer; in the industrial sector, they were frequent and prolonged; while in the real estate sector, they were frequent but shorter and fragmented. It was also found that the strongest impact on volatility shock formation was caused by an extreme Brent oil price increase and the COVID-19 period, which significantly increased the probability of shock in all analyzed indices. Additionally, for the general market index, the initial period of the Russia-Ukraine war and changes in interest rates were significant; for the financial sector – economic policy uncertainty; for the industrial sector – the initial period of the Russia-Ukraine war and GDP negative change; whereas in the real estate sector, only Brent oil price jump and the COVID-19 period remained significant. |
