Publication detail

Assessment of Changes in the Trend of Interdependences between the Capital Market of Germany and the Markets of Poland, the Czech Republic and Hungary

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

Original Title

Assessment of Changes in the Trend of Interdependences between the Capital Market of Germany and the Markets of Poland, the Czech Republic and Hungary

Type

conference paper

Language

English

Original Abstract

The subject of the article concerns the identification of a common factor (latent variable) describing the interdependence system for selected capital markets. Within the study we conducted an analysis of the correlation between the capital market of Germany and the markets of Poland, the Czech Republic and Hungary. The values of conditional correlations derived from the DCC-GARCH model were used to evaluate the interdependence between the capital markets. Then, based on the established interdependencies between the markets, a cointegration analysis was carried out. The degree of integration of conditional correlation series using the Phillips-Perron test was tested. Based on the Johansen procedure, a long-term system of linkages between the capital markets was determined. The identification of the cointegration process for the interdependence system was an argument for identifying a common factor on the basis of the affirmative factor analysis. The common factor reflects the leading direction of changes in the interdependence system between the German capital market and the markets of Poland, the Czech Republic and Hungary. The estimation of the square trend parameters for the identified common factor allowed us to determine the direction of change in the interdependence system between the examined capital markets. The results obtained confirmed that the increase in the level of interdependence was due to the global financial crisis and the slow stabilization of the analyzed markets.

Keywords

financial economics, capital markets interdependence, DCC-GARCH model, conditional variance, conditional correlation, confirmatory factor analysis

Authors

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

Released

30. 9. 2017

Publisher

Masaryk University, Faculty of Economics and Administration

Location

Brno

ISBN

978-80-210-8609-8

Book

Proceedings of the 14th International Scientific Conference

Edition

European Financial Systems 2017

Edition number

1

Pages from

492

Pages to

500

Pages count

9

BibTex

@inproceedings{BUT142912,
  author="Marek {Zinecker} and Edyta {Łaszkiewicz} and Tomáš {Meluzín} and Michał Bernard {Pietrzak} and Adam Przemyslaw {Balcerzak}",
  title="Assessment of Changes in the Trend of Interdependences between the Capital Market of Germany and the Markets of Poland, the Czech Republic and Hungary",
  booktitle="Proceedings of the 14th International Scientific Conference",
  year="2017",
  series="European Financial Systems 2017",
  number="1",
  pages="492--500",
  publisher="Masaryk University, Faculty of Economics and Administration",
  address="Brno",
  isbn="978-80-210-8609-8"
}