The Dynamics and Strength of Linkages between the Stock Markets in the Czech Republic, Hungary and Poland after their EU Accession

Malgorzata Doman () and Ryszard Doman ()
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Malgorzata Doman: Poznan University of Economics
Ryszard Doman: Adam Mickiewicz University in Poznan

Dynamic Econometric Models, 2013, vol. 13, 5-32

Abstract: We analyze the dynamics and strength of linkages between the Czech, Hungarian and Polish stock markets after the EU accession of the corresponding countries. In addition, we examine linkages between each of the markets and developed markets (European and US). The analysis is based on the daily quotations of the main representative stock indices (PX, BUX, WIG20, DAX, S&P 500) and includes the period from May 5, 2004 to July 20, 2012. The dynamics of dependencies is modeled by means of Markov-switching copula models, and the applied measures of the strength of the linkages are dynamic Spearman’s rho and tail dependence coefficients. The results show that dependencies between the considered emerging markets are very sensitive on market situation, but the linkages of these markets with the developed ones are stable.

Keywords: Central European stock market; conditional dependence; Markov-switching copula model; Spearman’s rho; tail dependence; model confidence set; stock index. (search for similar items in EconPapers)
JEL-codes: C32 C58 G01 G15 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:cpn:umkdem:v:13:y:2013:p:5-32

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