Detail publikace

Short-Term Shocks and Long-Term Relationships of Interdependencies among Central European Capital Markets

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

Originální název

Short-Term Shocks and Long-Term Relationships of Interdependencies among Central European Capital Markets

Typ

článek v časopise ve Web of Science, Jimp

Jazyk

angličtina

Originální abstrakt

The article focuses on the problem of interdependences among Central European capital markets. The main aim of this research is to identify long-term interdependences among Austrian, Czech, Hungarian and Polish capital markets and the market of Germany. Additionally, the impact of short-term shocks on these markets is under evaluation. In the first step of the research the interdependencies among the capital markets in the years 1997-2015 were verified. For this purpose the DCC-GARCH model with the conditional t-distribution was used. In the second step, an analysis of cointegration for the interdependencies among the markets was carried out. The authors proposed to include conditional variances of the analysed markets as additional explanatory variables in the cointegration analysis. As the conditional variance most often reflects the impact of short-term shocks, the proposed approach allowed to take into account short-term market shocks in the cointegration analysis. The results enabled to identify long-term path for the course of the interdependences among markets of Germany, Austria, Czech Republic, Hungary and Poland. The mentioned Central European capital markets make a group of markets characterized with similar long-term path, which are focused around the dominant market of Germany.

Klíčová slova

cointegration analysis; DCC-GARCH model; conditional variance; conditional correlation; short-term shocks

Autoři

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

Vydáno

7. 4. 2017

Nakladatel

Center Sociological Research

Místo

Szcecin

ISSN

2071-789X

Periodikum

Economics and Sociology

Ročník

10

Číslo

1

Stát

Polská republika

Strany od

61

Strany do

77

Strany počet

16

URL

http://www.economics-sociology.eu/?470,en_short-term-shocks-and-long-term-relationships-of-interdependencies-among-central-european-capital-markets

Plný text v Digitální knihovně

http://hdl.handle.net/11012/70183

BibTex

@article{BUT135855,
  author="Michał Bernard {Pietrzak} and Marcin {Fałdziński} and Adam Przemyslaw {Balcerzak} and Tomáš {Meluzín} and Marek {Zinecker}",
  title="Short-Term Shocks and Long-Term Relationships of Interdependencies among Central European Capital Markets",
  journal="Economics and Sociology",
  year="2017",
  volume="10",
  number="1",
  pages="61--77",
  doi="10.14254/2071-789X.2017/10-1/5",
  issn="2071-789X",
  url="http://www.economics-sociology.eu/?470,en_short-term-shocks-and-long-term-relationships-of-interdependencies-among-central-european-capital-markets"
}