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FAŁDZIŃSKI, M. BALCERZAK, A. MELUZÍN, T. PIETRZAK, M. ZINECKER, M.
Originální název
Cointegration of Interdependencies Among Capital Markets of Chosen Visegrad Countries and Germany
Typ
článek ve sborníku ve WoS nebo Scopus
Jazyk
angličtina
Originální abstrakt
Identification of linkages among capital markets is crucial for forming policies that take into account risk associated with international financial markets interdependencies. Thus, the aim of the article is to analyse interdependencies among capital markets of Germany, Poland, Czech Republic and Hungary. The research hypothesis was given as follows: There is a similar course and changes in the interdependencies among capital markets of Germany and the markets of the mentioned countries of the Visegrad Group. In the research a DCC-GARCH model was applied. The model allowed to estimate conditional correlations that indicate strength of the interrelationship among the markets. Then, the cointegration analysis of the conditional correlations was conducted. The proposed econometric procedure allowed to verify the research hypothesis. It confirmed that the capital markets of Germany, Poland, Czech Republic and Hungary are characterised with similar long-term path. Additionally, the research showed that changes in the direction and strength of the interrelationships among the studied markets are determined by the German capital market in the long-term, which is a leader in the region.
Klíčová slova
cointegration of interdependencies among capital markets; conditional correlation; DCC-GARCH model; conditional variance
Autoři
FAŁDZIŃSKI, M.; BALCERZAK, A.; MELUZÍN, T.; PIETRZAK, M.; ZINECKER, M.
Vydáno
28. 10. 2016
Nakladatel
Technical University of Liberec
Místo
Liberec, Czech Republic
ISBN
978-80-7494-296-9
Kniha
34TH INTERNATIONAL CONFERENCE MATHEMATICAL METHODS IN ECONOMICS (MME 2016)
Edice
Conference Proceedings
Číslo edice
1
Strany od
189
Strany do
194
Strany počet
6
BibTex
@inproceedings{BUT130272, author="Marcin {Fałdziński} and Adam Przemyslaw {Balcerzak} and Tomáš {Meluzín} and Michał Bernard {Pietrzak} and Marek {Zinecker}", title="Cointegration of Interdependencies Among Capital Markets of Chosen Visegrad Countries and Germany", booktitle="34TH INTERNATIONAL CONFERENCE MATHEMATICAL METHODS IN ECONOMICS (MME 2016)", year="2016", series="Conference Proceedings", number="1", pages="189--194", publisher="Technical University of Liberec", address="Liberec, Czech Republic", isbn="978-80-7494-296-9" }