Analysis of the Interconnection of the Czech and Global Stock Markets
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F14%3A%230002632" target="_blank" >RIV/47813059:19520/14:#0002632 - isvavai.cz</a>
Result on the web
<a href="http://mme2014.upol.cz/conference-proceedings" target="_blank" >http://mme2014.upol.cz/conference-proceedings</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Analysis of the Interconnection of the Czech and Global Stock Markets
Original language description
The aim of the paper is to analyze relations among major stock indices. The indices include the Dow Jones and S@P 500 indices from the U.S., the Japan's Nikkei 225 index, the Germany's DAX index and the Czech index PX-50. The authors of the paper are interested, among other things, in mutual dependence of the indices and causal directions of their effects. To analyze these problems, historical time series of the indices are used and scrutinized for presence of nonstationarities potentially present in the series. After analyzing the nonstationarities, a multivariate time series model is built, and its parameters are estimated. The model is used for general conclusions regarding mutual interconnections among the major stock markets. One of the objectivesof the paper is to confirm or reject the general expectation related to what extent and with what delay the Prague Stock Exchange responds to developments in other financial markets.
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
O - Projekt operacniho programu
Others
Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
32nd International Conference Mathematical Methods in Economics MME 2014, Conference Proceedings
ISBN
978-80-244-4209-9
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
1051-1056
Publisher name
Palacký University, Olomouc, Křížovského 8, 771 47 Olomouc, www.vydavatelstvi.upol.cz
Place of publication
Olomouc
Event location
Palacký University, Olomouc
Event date
Sep 10, 2014
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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