 Interactions between Markets and Dually Listed Stocks: The Case of the Czech RepublicCzech Journal of Economics and Finance (Finance a uver), 2001, vol. 51, issue 3, 166-181 Abstract: This paper considers the interaction among equity markets in the Czech Republic and those in developed countries. Also considered are cross-listed securities traded in the Czech Republic whose global depository receipts (GDRs) are listed in London. The models used include Granger causality, cointegration, and error-correction models. The results demonstrate that the Czech market is indeed affected by the development of major international equity indices. This, however, explains little of domestic market variability, so other factors related to stock market development need to be explicated. The prices of cross-listed securities on the domestic and London markets are cointegrated and an error-correction mechanism exists that corrects random deviations from the parity. As this error-correction mechanism appears to be rather symmetric, and as the Granger causality tests suggest different causality patterns for individual stocks, none of the two markets emerges as the dominant one. A variety of interactions exist between the local and London GDR markets. Keywords: equity indices; causality; cointegration; cross-listed stocks (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:fau:fauart:v:51:y:2001:i:3:p:166-181 Access Statistics for this article More articles in Czech Journal of Economics and Finance (Finance a uver) from Charles University Prague, Faculty of Social Sciences Contact information at EDIRC. |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.