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

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

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50201 - Economic Theory

Projekt

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Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2017

Kód důvěrnosti údajů

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

Název statě ve sborníku

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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Počet stran výsledku

6

Strana od-do

572-577

Název nakladatele

University of Hradec Králové

Místo vydání

Hradec Králové

Místo konání akce

Hradec Králové

Datum konání akce

13. 9. 2017

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000427151400098