Publication detail

Identification of the Direction of Changes in the Structure of Interdependence among the US Capital Market and the Leading European Markets

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

Original Title

Identification of the Direction of Changes in the Structure of Interdependence among the US Capital Market and the Leading European Markets

Type

conference paper

Language

English

Original Abstract

The aim of the article is to identify global factor (a latent variable) determining direction of changes in the structure of interdependence among US capital market and the leading European markets (UK and Germany). The analysis was done for the years 2004-2014 with daily time series. In the first step, conditional correlations obtained with application of DCC-GARCH model were used to assess the interdependence among the markets. The second stage of the research was devoted to cointegration analysis. For this purpose, stationarity of the conditional correlations was verified with application of Phillips-Perron test. Next, based on the Johansen procedure a long-term relationship structure was established. In the end, a common global factor determining the changes in interdependence was identified with application of confirmatory factor analysis. The common global factor projections reflect the leading direction of changes in the interdependence among the markets. Estimating the quadratic trend model for the identified global factor has confirmed an increase in the interdependence as a result of the global financial crisis and the slow stabilization process of the analyzed markets.

Keywords

financial economics, capital market, conditional correlations, DCC-GARCH, cointegration, confirmatory factor analysis

Authors

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

Released

30. 11. 2017

Publisher

University of Hradec Králové

Location

Hradec Králové

ISBN

978-80-7435-678-0

Book

Proceedings of the 35th International Conference Mathematical Methods in Economics (MME 2017)

Edition

Mathematical Methods in Economics

Edition number

1

Pages from

572

Pages to

577

Pages count

6

BibTex

@inproceedings{BUT142913,
  author="Michał Bernard {Pietrzak} and Edyta {Łaszkiewicz} and Adam Przemyslaw {Balcerzak} and Tomáš {Meluzín} and Marek {Zinecker}",
  title="Identification of the Direction of Changes in the Structure of Interdependence among the US Capital Market and the Leading European Markets",
  booktitle="Proceedings of the 35th International Conference Mathematical Methods in Economics (MME 2017)",
  year="2017",
  series="Mathematical Methods in Economics",
  number="1",
  pages="572--577",
  publisher="University of Hradec Králové",
  address="Hradec Králové",
  isbn="978-80-7435-678-0"
}