The Relationship between the Czech Republic's Stock Market and Stock Markets of its Major Trading Partners: the Impact of the Global Financial Crisis
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F11%3A00054297" target="_blank" >RIV/00216224:14560/11:00054297 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
The Relationship between the Czech Republic's Stock Market and Stock Markets of its Major Trading Partners: the Impact of the Global Financial Crisis
Original language description
This paper examines the relationship between Czech Republic?s stock market and stock markets of its major trading partners. Johansen multivariate cointegration technique is used for the analysis of short- and long-run linkages between those markets. Thepurpose of the paper is twofold. First, it aims to test whether the degree of integration on the equity markets is comparable to the degree of economic integration. Furthermore, this paper is goaled to distinguish the change in interdependence relationships between Czech stock market and stock markets of its trading partners after the world financial crisis. Vector Error Correction Model is built to determine the initial receptor of internal shocks, while Granger causality tests are performed to form the short-run connections. The findings on notable change in stock markets? cointegration have implications for both policy makers and global investors.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
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Continuities
N - Vyzkumna aktivita podporovana z neverejnych zdroju
Others
Publication year
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Lessons Learned from the Financial Crisis. Proceedings of 13th International Conference on Finance and Banking
ISBN
978-80-7248-708-0
ISSN
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e-ISSN
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Number of pages
11
Pages from-to
109-120
Publisher name
Silesian University, School of Business Administration
Place of publication
Ostrava, Czech Republic
Event location
Silesian University
Event date
Jan 1, 2011
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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