Identification of the Direction of Changes in the Structure of Interdependence among the US Capital Market and the Leading European Markets

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26510%2F17%3APU125987" target="_blank" >RIV/00216305:26510/17:PU125987 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Identification of the Direction of Changes in the Structure of Interdependence among the US Capital Market and the Leading European Markets
Original language description
The aim of the article is to identify global factor (a latent variable) determining direction of changes in the structure of interdependence among US capital market and the leading European markets (UK and Germany). The analysis was done for the years 2004-2014 with daily time series. In the first step, conditional correlations obtained with application of DCC-GARCH model were used to assess the interdependence among the markets. The second stage of the research was devoted to cointegration analysis. For this purpose, stationarity of the conditional correlations was verified with application of Phillips-Perron test. Next, based on the Johansen procedure a long-term relationship structure was established. In the end, a common global factor determining the changes in interdependence was identified with application of confirmatory factor analysis. The common global factor projections reflect the leading direction of changes in the interdependence among the markets. Estimating the quadratic trend model for the identified global factor has confirmed an increase in the interdependence as a result of the global financial crisis and the slow stabilization process of the analyzed markets.
Czech name
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Czech description
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Project
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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

Article name in the collection
Proceedings of the 35th International Conference Mathematical Methods in Economics (MME 2017)
ISBN
978-80-7435-678-0
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
572-577
Publisher name
University of Hradec Králové
Place of publication
Hradec Králové
Event location
Hradec Králové
Event date
Sep 13, 2017
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000427151400098

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