Short-Term Shocks and Long-Term Relationships of Interdependencies among Central European Capital Markets

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26510%2F17%3APU123664" target="_blank" >RIV/00216305:26510/17:PU123664 - isvavai.cz</a>

Result on the web

<a href="http://www.economics-sociology.eu/?470,en_short-term-shocks-and-long-term-relationships-of-interdependencies-among-central-european-capital-markets" target="_blank" >http://www.economics-sociology.eu/?470,en_short-term-shocks-and-long-term-relationships-of-interdependencies-among-central-european-capital-markets</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.14254/2071-789X.2017/10-1/5" target="_blank" >10.14254/2071-789X.2017/10-1/5</a>

Result language

angličtina

Original language name

Short-Term Shocks and Long-Term Relationships of Interdependencies among Central European Capital Markets

Original language description

The article focuses on the problem of interdependences among Central European capital markets. The main aim of this research is to identify long-term interdependences among Austrian, Czech, Hungarian and Polish capital markets and the market of Germany. Additionally, the impact of short-term shocks on these markets is under evaluation. In the first step of the research the interdependencies among the capital markets in the years 1997-2015 were verified. For this purpose the DCC-GARCH model with the conditional t-distribution was used. In the second step, an analysis of cointegration for the interdependencies among the markets was carried out. The authors proposed to include conditional variances of the analysed markets as additional explanatory variables in the cointegration analysis. As the conditional variance most often reflects the impact of short-term shocks, the proposed approach allowed to take into account short-term market shocks in the cointegration analysis. The results enabled to identify long-term path for the course of the interdependences among markets of Germany, Austria, Czech Republic, Hungary and Poland. The mentioned Central European capital markets make a group of markets characterized with similar long-term path, which are focused around the dominant market of Germany.

Czech name

—

Czech description

—

Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

—

OECD FORD branch

50202 - Applied Economics, Econometrics

Project

—

Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2017

Confidentiality

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

Name of the periodical

Economics and Sociology

ISSN

2071-789X

e-ISSN

2306-3459

Volume of the periodical

10

Issue of the periodical within the volume

1

Country of publishing house

PL - POLAND

Number of pages

16

Pages from-to

61-77

UT code for WoS article

000400150400005

EID of the result in the Scopus database

2-s2.0-85017336756