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PIETRZAK, M. FAŁDZIŃSKI, M. BALCERZAK, A. MELUZÍN, T. ZINECKER, M.
Original Title
Short-Term Shocks and Long-Term Relationships of Interdependencies among Central European Capital Markets
Type
journal article in Web of Science
Language
English
Original Abstract
The article focuses on the problem of interdependences among Central European capital markets. The main aim of this research is to identify long-term interdependences among Austrian, Czech, Hungarian and Polish capital markets and the market of Germany. Additionally, the impact of short-term shocks on these markets is under evaluation. In the first step of the research the interdependencies among the capital markets in the years 1997-2015 were verified. For this purpose the DCC-GARCH model with the conditional t-distribution was used. In the second step, an analysis of cointegration for the interdependencies among the markets was carried out. The authors proposed to include conditional variances of the analysed markets as additional explanatory variables in the cointegration analysis. As the conditional variance most often reflects the impact of short-term shocks, the proposed approach allowed to take into account short-term market shocks in the cointegration analysis. The results enabled to identify long-term path for the course of the interdependences among markets of Germany, Austria, Czech Republic, Hungary and Poland. The mentioned Central European capital markets make a group of markets characterized with similar long-term path, which are focused around the dominant market of Germany.
Keywords
cointegration analysis; DCC-GARCH model; conditional variance; conditional correlation; short-term shocks
Authors
PIETRZAK, M.; FAŁDZIŃSKI, M.; BALCERZAK, A.; MELUZÍN, T.; ZINECKER, M.
Released
7. 4. 2017
Publisher
Center Sociological Research
Location
Szcecin
ISBN
2071-789X
Periodical
Economics and Sociology
Year of study
10
Number
1
State
Republic of Poland
Pages from
61
Pages to
77
Pages count
16
URL
http://www.economics-sociology.eu/?470,en_short-term-shocks-and-long-term-relationships-of-interdependencies-among-central-european-capital-markets
Full text in the Digital Library
http://hdl.handle.net/11012/70183
BibTex
@article{BUT135855, author="Michał Bernard {Pietrzak} and Marcin {Fałdziński} and Adam Przemyslaw {Balcerzak} and Tomáš {Meluzín} and Marek {Zinecker}", title="Short-Term Shocks and Long-Term Relationships of Interdependencies among Central European Capital Markets", journal="Economics and Sociology", year="2017", volume="10", number="1", pages="61--77", doi="10.14254/2071-789X.2017/10-1/5", issn="2071-789X", url="http://www.economics-sociology.eu/?470,en_short-term-shocks-and-long-term-relationships-of-interdependencies-among-central-european-capital-markets" }