Identification of The Dependence of The Hungarian Capital Market on The Leading Capital Markets in Europe

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 Dependence of The Hungarian Capital Market on The Leading Capital Markets in Europe

Popis výsledku v původním jazyce

The subject of the article concerns the issue of interdependence between capital markets and the problem of identifying the long-term equilibrium between these markets. The phenomenon of interdependence between markets is an element of their functioning, however, the progressive globalization of world economies significantly strengthens the system of mutual connections. The subject matter is important as the last world financial crisis of 2008 has shown that it is possible to shift shock effects from financial markets in one economy to other countries, which results in crisis situations not only in the financial sphere, but also destabilising the real economy. The main goal of the article is to establish a long-term equilibrium between the UK capital market as the main capital market in Europe and the capital markets of the Visegrad Group countries, which can be considered as the markets of local importance. The article presents a research hypothesis stating that there is present the similar long-term development of interdependencies between selected capital markets. The DCC-GARCH model with a conditional tstudent distribution was used to measure the interdependence, on the basis of which the conditional correlations for the established pairs of capital markets were determined. The article presents a cointegration analysis for conditional correlations between selected capital markets, and then estimates the parameters of the VECM model were obtained. An equation has been established to define the long-term equilibrium between capital markets and the short-term equation. The obtained results allowed for the verification of the research hypothesis regarding the existence of a long-term path for the course of the interdependence between the capital markets of Great Britain, Poland, the Czech Republic and Hungary.

Název v anglickém jazyce

Identification of The Dependence of The Hungarian Capital Market on The Leading Capital Markets in Europe

Popis výsledku anglicky

The subject of the article concerns the issue of interdependence between capital markets and the problem of identifying the long-term equilibrium between these markets. The phenomenon of interdependence between markets is an element of their functioning, however, the progressive globalization of world economies significantly strengthens the system of mutual connections. The subject matter is important as the last world financial crisis of 2008 has shown that it is possible to shift shock effects from financial markets in one economy to other countries, which results in crisis situations not only in the financial sphere, but also destabilising the real economy. The main goal of the article is to establish a long-term equilibrium between the UK capital market as the main capital market in Europe and the capital markets of the Visegrad Group countries, which can be considered as the markets of local importance. The article presents a research hypothesis stating that there is present the similar long-term development of interdependencies between selected capital markets. The DCC-GARCH model with a conditional tstudent distribution was used to measure the interdependence, on the basis of which the conditional correlations for the established pairs of capital markets were determined. The article presents a cointegration analysis for conditional correlations between selected capital markets, and then estimates the parameters of the VECM model were obtained. An equation has been established to define the long-term equilibrium between capital markets and the short-term equation. The obtained results allowed for the verification of the research hypothesis regarding the existence of a long-term path for the course of the interdependence between the capital markets of Great Britain, Poland, the Czech Republic and Hungary.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2020

Kód důvěrnosti údajů

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

Název statě ve sborníku

Proceedings of the 36th International Business Information Management Association Conference

ISBN

978-0-9998551-5-7

ISSN

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e-ISSN

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Počet stran výsledku

8

Strana od-do

5498-5505

Název nakladatele

International Business Information Management Association

Místo vydání

Granada, Spain

Místo konání akce

Granada

Datum konání akce

4. 11. 2020

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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