Šíření nákazy na finančních trzích

This thesis investigated cases of how and if financial contagion spread from stock markets of the Southern Europe, to the two regions of the 2004 enlargement of European Union; the Baltics states and the Central European (CEE) countries (and their stock markets). We defined two research questions that we wanted to answer. First, if having a single currency increases cross-country co-movements between two countries (stock markets) that are using the same currency. Comparing the volume of co-exceedances between both regions, we can say that the single currency does not have effect on the volume of contagion moments. We can clearly see that the region of Central Europe experienced higher volume of both positive and negative extreme returns transmitted from the Southern Europe, than was the case of Baltic region, whose countries has been in the ERM mechanism since 2005.