INTEGRATION OF STOCK MARKETS IN THE CONTEXT OF THE COVID 19 PANDEMIC

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F22%3A10250969" target="_blank" >RIV/61989100:27510/22:10250969 - isvavai.cz</a>

Výsledek na webu

<a href="https://msed.vse.cz/msed_2022/sbornik/introduction.html" target="_blank" >https://msed.vse.cz/msed_2022/sbornik/introduction.html</a>

DOI - Digital Object Identifier

—

Jazyk výsledku

angličtina

Název v původním jazyce

INTEGRATION OF STOCK MARKETS IN THE CONTEXT OF THE COVID 19 PANDEMIC

Popis výsledku v původním jazyce

Structural changes in the environment, such as the synchronization of economies or financialintegration, affect economic agents and institutions both individually and systemically.Whether the benefits of financial integration outweigh its risks and whether this process willincrease financial stability depends on the resilience and flexibility of the financial system itself.The aim of this paper is an empirical analysis of the development of financial integration of theCzech, Hungarian and Polish stock markets with the euro area market during the periods offinancial (in)stability including the COVID 19 pandemic period. Following the definition offinancial integration that is based on the law of one price, the price-based and news-basedmeasures will be applied in this paper. The empirical analysis will be provided on weekly datain the period from 2004 to 2022. Based on price measures, the overall results indicate that theglobal financial crisis has caused relatively significant price divergence of the CEE stockmarkets with the euro area, while the impact of the COVID 19 pandemic was only temporaland its impact was significantly smaller. On the contrary, the concept of asset price sensitivityshows that financial instability contributes to increasing financial integration.

Název v anglickém jazyce

INTEGRATION OF STOCK MARKETS IN THE CONTEXT OF THE COVID 19 PANDEMIC

Popis výsledku anglicky

Structural changes in the environment, such as the synchronization of economies or financialintegration, affect economic agents and institutions both individually and systemically.Whether the benefits of financial integration outweigh its risks and whether this process willincrease financial stability depends on the resilience and flexibility of the financial system itself.The aim of this paper is an empirical analysis of the development of financial integration of theCzech, Hungarian and Polish stock markets with the euro area market during the periods offinancial (in)stability including the COVID 19 pandemic period. Following the definition offinancial integration that is based on the law of one price, the price-based and news-basedmeasures will be applied in this paper. The empirical analysis will be provided on weekly datain the period from 2004 to 2022. Based on price measures, the overall results indicate that theglobal financial crisis has caused relatively significant price divergence of the CEE stockmarkets with the euro area, while the impact of the COVID 19 pandemic was only temporaland its impact was significantly smaller. On the contrary, the concept of asset price sensitivityshows that financial instability contributes to increasing financial integration.

Druh

D - Stať ve sborníku

CEP obor

—

OECD FORD obor

50206 - Finance

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

2022

Kód důvěrnosti údajů

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

Název statě ve sborníku

International Days of Statistics and Economics : conference proceedings : September 8–10, 2022, Prague, Czech Republic

ISBN

978-80-87990-29-2

ISSN

—

e-ISSN

—

Počet stran výsledku

10

Strana od-do

449-458

Název nakladatele

Melandrium

Místo vydání

Slaný

Místo konání akce

Praha

Datum konání akce

8. 9. 2022

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

—