Analysis of the Interconnection of the Czech and Global Stock Markets

Kód výsledku v 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>

Výsledek na webu

<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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Jazyk výsledku

angličtina

Název v původním jazyce

Analysis of the Interconnection of the Czech and Global Stock Markets

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Analysis of the Interconnection of the Czech and Global Stock Markets

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

O - Projekt operacniho programu

Rok uplatnění

2014

Kód důvěrnosti údajů

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

Název statě ve sborníku

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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Počet stran výsledku

6

Strana od-do

1051-1056

Název nakladatele

Palacký University, Olomouc, Křížovského 8, 771 47 Olomouc, www.vydavatelstvi.upol.cz

Místo vydání

Olomouc

Místo konání akce

Palacký University, Olomouc

Datum konání akce

10. 9. 2014

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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