Dynamic of the Money Flows Between Stock Exchanges

Eliza Anna Buszkowska ()
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Eliza Anna Buszkowska: Adam Mickiewicz Uniwersity Poznan

Acta Universitatis Nicolai Copernici, Ekonomia, 2014, vol. 45, issue 2, 275-288

Abstract: In the article one tried to answer many questions about the money flow between stock exchanges. One reflected if stock markets are a communicating vessels system, if there succeed an escape from one stock exchange to another, if in different periods more lost on the stock markets small, big or medium companies. One searched connections between reactions of different financial instruments on the same information with use of dynamic conditional correlations models. One checked how was the reaction on impulse from American market depending on the quantity of the exchange company from all the world.

Keywords: stock indexes; volatility; DCC models; impulse response function; crisis (search for similar items in EconPapers)
JEL-codes: C10 (search for similar items in EconPapers)
Date: 2014
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