Analysis of stock market linkages: evidence from the selected CEE markets

• Autorzy: Chocholatá M.
• Języki publikacji: EN

Abstrakty

EN

This paper analyses the stock market linkages of the selected Central and Eastern European (CEE) markets (Czech Republic – PX, Hungary – BUX and Poland – WIG20) with the Western European stock market represented by the German DAX and studies also the comovement between the individual CEE countries’ stock markets. The dynamic conditional correlation (DCC) models were used to model the co-movements and thereafter in some cases the smooth transition analysis was carried out in order to capture how these correlations evolve over time. The analysis was based on weekly data over the sample period January 3rd, 1997 – November 29th, 2013 (883 observations). In the first step the asymmetric univariate autoregressive conditional heteroscedasticity model of Glosten, Jagannathan and Runkle (GJR) was estimated for individual stock return series. The results of the DCCGJR models estimated in the next step show almost in all analysed cases the increasing level of conditional correlations. In four cases (BUX_DAX, WIG20_DAX, BUX_PX and PX_WIG20) the DCC series were identified to be nonstationary – I(1) and nonlinear logistic smooth transition regression (LSTR) model was used to capture the gradual transition towards greater co-movements and to find out if the increasing level of DCC could be attributed to the accession of these countries into the European Union (EU) in May 2004.

Słowa kluczowe

EN

stock market linkages; dynamic conditional correlation; logistic smooth transition regression model; Central and Eastern European markets

• Wydawca: Komisja Informatyki Polskiej Akademii Nauk, Oddział w Gdańsku
• Czasopismo: Journal of Theoretical and Applied Computer Science
• Rocznik: 2013
• Tom: Vol. 7, nr 4
• Strony: 56--69
• Opis fizyczny: Bibliogr. 25 poz., rys., tab.

Twórcy

autor

Chocholatá M.

• Department of Operations Research and Econometrics, Faculty of Economic Informatics, University of Economics Bratislava, Slovakia

Bibliografia

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