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The Relationship between the Stock Market of the Czech Republic 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%2F12%3A00059924" target="_blank" >RIV/00216224:14560/12:00059924 - isvavai.cz</a>

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    The Relationship between the Stock Market of the Czech Republic and Stock Markets of its Major Trading Partners : the Impact of the Global Financial Crisis

  • Original language description

    This paper examines the relationship between the 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.The purpose 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

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    AH - Economics

  • OECD FORD branch

Result continuities

  • Project

  • Continuities

    N - Vyzkumna aktivita podporovana z neverejnych zdroju

Others

  • Publication year

    2012

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Article name in the collection

    Proceedings of the 13th International Conference on Finance and Banking

  • ISBN

    9788072487530

  • ISSN

  • e-ISSN

  • Number of pages

    12

  • Pages from-to

    45-56

  • Publisher name

    Silesian University

  • Place of publication

    Karviná

  • Event location

    Ostrava

  • Event date

    Jan 1, 2011

  • Type of event by nationality

    WRD - Celosvětová akce

  • UT code for WoS article

    000309369700005