Cointegration of Interdependencies Among Capital Markets of Chosen Visegrad Countries and Germany

Repository of Nicolaus Copernicus University

Show simple item record

dc.contributor.author Fałdziński, Marcin
dc.contributor.author Balcerzak, Adam P.
dc.contributor.author Meluzín, Tomáš
dc.contributor.author Pietrzak, Michał Bernard
dc.contributor.author Zineker, Marek
dc.date.accessioned 2016-09-21T11:58:43Z
dc.date.available 2016-09-21T11:58:43Z
dc.date.issued 2016-09-21
dc.identifier.isbn 978-80-7494-296-9
dc.identifier.uri http://repozytorium.umk.pl/handle/item/3732
dc.description.abstract Identification of linkages among capital markets is crucial for forming policies that take into account risk associated with international financial markets in-terdependencies. Thus, the aim of the article is to analyse interdependencies among capital markets of Germany, Poland, Czech Republic and Hungary. The research hypothesis was given as follows: There is a similar course and changes in the inter-dependencies among capital markets of Germany and the markets of the mentioned countries of the Visegrad Group. In the research a DCC-GARCH model was applied. The model allowed to estimate conditional correlations that indicate strength of the interrelationship among the markets. Then, the cointegration analysis of the conditional correlations was conducted. The proposed econometric procedure allowed to verify the research hypothesis. It confirmed that the capital markets of Germany, Poland, Czech Republic and Hungary are characterised with similar long-term path. Additionally, the research showed that changes in the direction and strength of the interrelationships among the studied markets are determined by the German capital market in the long-term, which is a leader in the region.
dc.language.iso eng
dc.rights Attribution-NonCommercial-NoDerivs 3.0 Poland
dc.rights info:eu-repo/semantics/openAccess
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/pl/
dc.subject cointegration of interdependencies among capital markets
dc.subject conditional correlation
dc.subject DCC-GARCH model
dc.subject conditional variance
dc.title Cointegration of Interdependencies Among Capital Markets of Chosen Visegrad Countries and Germany
dc.type info:eu-repo/semantics/bookPart

Files in this item

This item appears in the following Collection(s)

Show simple item record

Attribution-NonCommercial-NoDerivs 3.0 Poland Except where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivs 3.0 Poland

Search repository

Advanced Search


My Account