Publication detail

Interdependencies on the Czech Capital Market in the Context of Accession to the Structures of the European Union

ZINECKER, M. PIETRZAK, M. MELUZÍN, T. BALCERZAK, A.

Original Title

Interdependencies on the Czech Capital Market in the Context of Accession to the Structures of the European Union

Type

conference paper

Language

English

Original Abstract

The Czech Republic began official accession negotiations with the European Union in 1998. As a result of the reforms and structural changes carried out in the country, the Czech Republic joined the structures of the European Union in 2004. Undoubtedly, the development of international organizations, including the European Union and participation in these institutional structures, has contributed to the increase of links and interrelations between member states. This phenomenon is also an important determinant of the increase of interdependence between capital markets of the member countries. An important issue is the analysis of changes in the strength of links between markets over time, the results of which allow for more effective management of financial risk related to the functioning of capital markets. The main objective of the article is to provide information on the interrelations between the Czech capital market and leading capital markets in Europe, the capital market of Germany and Great Britain. The analysis was carried out in the period 1998-2019, in which the Czech economy underwent numerous institutional changes related to membership in the European Union. The DCC-GARCH model with conditional t-student distribution was used to identify changes in interrelationships over time.

Keywords

institutional economics; capital market, DCC-GARCH model; conditional variance and correlation; Czech Republic; European Union

Authors

ZINECKER, M.; PIETRZAK, M.; MELUZÍN, T.; BALCERZAK, A.

Released

20. 5. 2020

Publisher

The Slovak Society for Operations Research, Department of Operations Research and Econometrics, Faculty of Economic Informatics, University of Economics in Bratislava

Location

Bratislava/Slovakia

ISBN

978-80-89962-60-0

Book

Proceedings of the International Scientific Conference QUANTITATIVE METHODS IN ECONOMICS Multiple Criteria Decision Making XX

Pages from

344

Pages to

352

Pages count

9

BibTex

@inproceedings{BUT166215,
  author="Marek {Zinecker} and Michał Bernard {Pietrzak} and Tomáš {Meluzín} and Adam Przemyslaw {Balcerzak}",
  title="Interdependencies on the Czech Capital Market in the Context of Accession to the Structures of the European Union",
  booktitle="Proceedings of the International Scientific Conference QUANTITATIVE METHODS IN ECONOMICS Multiple Criteria Decision Making XX",
  year="2020",
  pages="344--352",
  publisher="The Slovak Society for Operations Research, Department of Operations Research and Econometrics, Faculty of Economic Informatics, University of Economics in Bratislava",
  address="Bratislava/Slovakia",
  isbn="978-80-89962-60-0"
}