Detail publikačního výsledku

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

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

Original Title

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

English Title

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

Type

Paper in proceedings (conference paper)

Original Abstract

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.

English abstract

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.

Keywords

cointegration of interdependencies among capital markets; conditional correlation; DCC-GARCH model; conditional variance

Key words in English

cointegration of interdependencies among capital markets; conditional correlation; DCC-GARCH model; conditional variance

Authors

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

RIV year

2017

Released

28.10.2016

Publisher

Technical University of Liberec

Location

Liberec, Czech Republic

ISBN

978-80-7494-296-9

Book

34TH INTERNATIONAL CONFERENCE MATHEMATICAL METHODS IN ECONOMICS (MME 2016)

Edition

Conference Proceedings

Pages from

189

Pages to

194

Pages count

6

Full text in the Digital Library

http://hdl.handle.net/

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"
}