ECONOMETRIC ANALYSIS OF INTEGRATION OF SELECTED NEW EU MEMBER CEE STOCK MARKETS WITH GLOBAL STOCK MARKET AND EUROZONE: IMPACT OF GLOBAL FINANCIAL CRISIS

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F21%3A10247694" target="_blank" >RIV/61989100:27510/21:10247694 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/44555601:13510/21:43896348 RIV/00216224:14560/21:00122169

Výsledek na webu

<a href="https://www.amfiteatrueconomic.ro/ArticolEN.aspx?CodArticol=3042" target="_blank" >https://www.amfiteatrueconomic.ro/ArticolEN.aspx?CodArticol=3042</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.24818/EA/2021/58/824" target="_blank" >10.24818/EA/2021/58/824</a>

Jazyk výsledku

angličtina

Název v původním jazyce

ECONOMETRIC ANALYSIS OF INTEGRATION OF SELECTED NEW EU MEMBER CEE STOCK MARKETS WITH GLOBAL STOCK MARKET AND EUROZONE: IMPACT OF GLOBAL FINANCIAL CRISIS

Popis výsledku v původním jazyce

The period of global financial crisis can be characterized by the overflow of negative innovations among stock markets around the world. Central European stock markets have not been excluded because they are not isolated from global stock markets. Recently published scientific studies dealing with this topic have focused mainly on the integration of the stock markets of the new EU Member States only with the Eurozone. Therefore, this paper aims to investigate, compare and interpret the integration between the stock markets of the new selected EU Member States in Central Europe (Czech Republic, Hungary and Poland), the global stock market and the Eurozone capital market in period 2004-2018. The added value of this article consists, in particular, in the use of a wider range of econometric instruments (cointegration, VAR model, Granger causality, variance decomposition) and the comparison of changes in mutual relations in three different test subperiods to study the dynamics over time. Our research is done by using data on a daily basis. The results showed that the degree of integration of Central European stock markets with the US stock market and the Eurozone increased significantly during the global financial crisis. Moreover, stock markets in Central Europe are more integrated with the global stock market than the Eurozone

Název v anglickém jazyce

ECONOMETRIC ANALYSIS OF INTEGRATION OF SELECTED NEW EU MEMBER CEE STOCK MARKETS WITH GLOBAL STOCK MARKET AND EUROZONE: IMPACT OF GLOBAL FINANCIAL CRISIS

Popis výsledku anglicky

The period of global financial crisis can be characterized by the overflow of negative innovations among stock markets around the world. Central European stock markets have not been excluded because they are not isolated from global stock markets. Recently published scientific studies dealing with this topic have focused mainly on the integration of the stock markets of the new EU Member States only with the Eurozone. Therefore, this paper aims to investigate, compare and interpret the integration between the stock markets of the new selected EU Member States in Central Europe (Czech Republic, Hungary and Poland), the global stock market and the Eurozone capital market in period 2004-2018. The added value of this article consists, in particular, in the use of a wider range of econometric instruments (cointegration, VAR model, Granger causality, variance decomposition) and the comparison of changes in mutual relations in three different test subperiods to study the dynamics over time. Our research is done by using data on a daily basis. The results showed that the degree of integration of Central European stock markets with the US stock market and the Eurozone increased significantly during the global financial crisis. Moreover, stock markets in Central Europe are more integrated with the global stock market than the Eurozone

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

<a href="/cs/project/EE2.3.20.0296" target="_blank" >EE2.3.20.0296: Výzkumný tým pro modelování ekonomických a finančních procesů na VŠB-TU Ostrava</a><br>

Návaznosti

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

Rok uplatnění

2021

Kód důvěrnosti údajů

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

Název periodika

Amfiteatru Economic

ISSN

1582-9146

e-ISSN

—

Svazek periodika

23

Číslo periodika v rámci svazku

58

Stát vydavatele periodika

RO - Rumunsko

Počet stran výsledku

19

Strana od-do

824-842

Kód UT WoS článku

000678147700018

EID výsledku v databázi Scopus

2-s2.0-85114145168