Stock market comovements in Central Europe: Evidence from the asymmetric DCC model

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F13%3A10159130" target="_blank" >RIV/00216208:11230/13:10159130 - isvavai.cz</a>

Výsledek na webu

<a href="http://dx.doi.org/10.1016/j.econmod.2013.03.015" target="_blank" >http://dx.doi.org/10.1016/j.econmod.2013.03.015</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.econmod.2013.03.015" target="_blank" >10.1016/j.econmod.2013.03.015</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Stock market comovements in Central Europe: Evidence from the asymmetric DCC model

Popis výsledku v původním jazyce

We examine time-varying stock market comovements in Central Europe employing the asymmetric dynamic conditional correlation multivariate GARCH model. Using daily data from 2001 to 2011, we find that the correlations among stock markets in Central Europeand between Central Europe vis-A-vis the euro area are strong. The correlations increased over time, particularly after their EU entry and largely remained at these levels during the financial crisis. The stock markets exhibit asymmetry in the conditional variances and to a certain extent in the conditional correlations as well, pointing to the importance of applying a sufficiently flexible econometric framework. The conditional variances and correlations are positively related, suggesting that the diversification benefits decrease disproportionally during volatile periods.

Název v anglickém jazyce

Stock market comovements in Central Europe: Evidence from the asymmetric DCC model

Popis výsledku anglicky

We examine time-varying stock market comovements in Central Europe employing the asymmetric dynamic conditional correlation multivariate GARCH model. Using daily data from 2001 to 2011, we find that the correlations among stock markets in Central Europeand between Central Europe vis-A-vis the euro area are strong. The correlations increased over time, particularly after their EU entry and largely remained at these levels during the financial crisis. The stock markets exhibit asymmetry in the conditional variances and to a certain extent in the conditional correlations as well, pointing to the importance of applying a sufficiently flexible econometric framework. The conditional variances and correlations are positively related, suggesting that the diversification benefits decrease disproportionally during volatile periods.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamické modely v ekonomii</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2013

Kód důvěrnosti údajů

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

Název periodika

Economic Modelling

ISSN

0264-9993

e-ISSN

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Svazek periodika

33

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

9

Strana od-do

55-64

Kód UT WoS článku

000323798100006

EID výsledku v databázi Scopus

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