Publication detail

Interdependencies Among the Polish Capital Market and the Markets in Germany and the United States in the Years 1998–2019

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

Original Title

Interdependencies Among the Polish Capital Market and the Markets in Germany and the United States in the Years 1998–2019

Type

conference paper

Language

English

Original Abstract

After 1989, Poland began the transformation process of the country, which aimed to change the economy from centrally planned into a market one. Building an effective financial market was an important element of this process. In the 90s of the last century there was also a significant increase in links between capital markets in the world, which was mainly the result of the progressing globalization. The growing interdependence among financial markets is now an immanent feature of their dynamic development. In this context, it is important to analyse changes in the interrelationships between capital markets, as it allows taking into account the risks associated with their functioning. The current knowledge on the development of financial market mechanisms is also an important element of macroeconomic policy. The main purpose of the article is to conduct an empirical study that will allow identification and description of changes in the interdependencies among the capital market in Poland and the capital markets of Germany and the United States. The study was based on data from the period 1998–2019. DCC-GARCH model was applied here as the research tool.

Keywords

DCC-GARCH model, conditional variance, conditional correlation, Poland, capital market

Authors

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

Released

9. 9. 2020

Publisher

Mendel University in Brno

Location

Brno, Czech Republic

ISBN

978-80-7509-734-7

Book

38th International Conference on Mathematical Methods in Economics (MME 2020)

Edition number

1

Pages from

669

Pages to

675

Pages count

7

URL

https://mme2020.mendelu.cz/

BibTex

@inproceedings{BUT169821,
  author="Marek {Zinecker} and Michał Bernard {Pietrzak} and Tomáš {Meluzín} and Adam Przemyslaw {Balcerzak}",
  title="Interdependencies Among the Polish Capital Market and the Markets in Germany and the United States in the Years 1998–2019",
  booktitle="38th International Conference on Mathematical Methods in Economics (MME 2020)",
  year="2020",
  number="1",
  pages="669--675",
  publisher="Mendel University in Brno",
  address="Brno, Czech Republic",
  isbn="978-80-7509-734-7",
  url="https://mme2020.mendelu.cz/"
}