Result Details
Identification of the Direction of Changes in the Structure of Interdependence among the US Capital Market and the Leading European Markets
Łaszkiewicz Edyta
Balcerzak Adam Przemyslaw, Dr. hab., Ph.D.
Meluzín Tomáš, prof. Ing., Ph.D., ÚE (FBM)
Zinecker Marek, prof. Ing., Ph.D., ÚE (FBM), ÚKP (FBM)
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.
financial economics, capital market, conditional correlations, DCC-GARCH, cointegration,
confirmatory factor analysis
@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"
}