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

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

N - Vyzkumna aktivita podporovana z neverejnych zdroju

Rok uplatnění

2012

Kód důvěrnosti údajů

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

Název statě ve sborníku

Proceedings of the 13th International Conference on Finance and Banking

ISBN

9788072487530

ISSN

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e-ISSN

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Počet stran výsledku

12

Strana od-do

45-56

Název nakladatele

Silesian University

Místo vydání

Karviná

Místo konání akce

Ostrava

Datum konání akce

1. 1. 2011

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000309369700005