Detail výsledku

Cointegration of Interdependencies Among Capital Markets of Chosen Visegrad Countries and Germany

FAŁDZIŃSKI, M.; BALCERZAK, A.; MELUZÍN, T.; PIETRZAK, M.; ZINECKER, M. Cointegration of Interdependencies Among Capital Markets of Chosen Visegrad Countries and Germany. In 34TH INTERNATIONAL CONFERENCE MATHEMATICAL METHODS IN ECONOMICS (MME 2016). Conference Proceedings. Liberec, Czech Republic: Technical University of Liberec, 2016. p. 189-194. ISBN: 978-80-7494-296-9.
Typ
článek ve sborníku konference
Jazyk
anglicky
Autoři
Fałdziński Marcin, FP (FP)
Balcerzak Adam Przemyslaw, Dr. hab., Ph.D.
Meluzín Tomáš, prof. Ing., Ph.D., ÚE (FP)
Pietrzak Michał Bernard, FP (FP)
Zinecker Marek, prof. Ing., Ph.D., ÚE (FP)
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

Rok
2016
Strany
189–194
Sborník
34TH INTERNATIONAL CONFERENCE MATHEMATICAL METHODS IN ECONOMICS (MME 2016)
Řada
Conference Proceedings
Vydání
1
Konference
Mathematical Methods in Economics
ISBN
978-80-7494-296-9
Vydavatel
Technical University of Liberec
Místo
Liberec, Czech Republic
UT WoS
000385239500033
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"
}
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