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ISSN: 2450-7733     eISSN: 2300-4096    OAI    DOI: 10.18276/sip.2016.45/1-01
CC BY-SA   Open Access 

Issue archive / nr 45/1 2016
Analiza powiązań pomiędzy rynkami kapitałowymi wybranych krajów Grupy Wyszehradzkiej
(Analysis of relations among capital markets of chosen countries of the Visegrad Group)

Authors: Adam P. Balcerzak
Uniwersytet Mikołaja Kopernika w Toruniu

Marcin Fałdziński
Uniwersytet Mikołaja Kopernika w Toruniu

Michał Bernard Pietrzak
Uniwersytet Mikołaja Kopernika w Toruniu

Tomas Meluzin
Brno University of Technology

Marek Zinecker
Brno University of Technology
Keywords: interdependences among capital markets conditional variance and correlations capital market DCC-GARCH model Visegrad Group
Data publikacji całości:2016
Page range:18 (11-28)
Klasyfikacja JEL: C58 G15
Cited-by (Crossref) ?:

Abstract

Increasing globalization contributes to the growth of the interdependencies between capital markets. Therefore, the identification of the linkages between capital markets and the analysis of changes in the strength of these relationships over time, can be the source of an important guidelines for national macroeconomic policy makers and can become an essential part of managing the risks associated with the influence of capital markets. Thus, the main objective of the proposed article is to analyze the interdependence between capital markets of selected countries of the Visegrad Group: Poland, Czech Republic and Hungary. The analysis of the relationship between these markets was supplemented with verification of their linkages with German capital market, which is quite close geographically, and additionally is usually considered as one of the leading markets in the European Union. In the econometric research DCC-GARCH model with the t-student conditional distribution was applied. The econometric analysis was done for the period 1997–2015, which gives the possibility to verify the trends in the evolution of interdependencies between the selected markets, measured here by conditional correlations.
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