Integrácia akciových trhov: DCC MV-GARCH model

Stock Market Integration: DCC MV-GARCH Model

Eduard Baumohl, Mária Farkašovská and Tomáš Výrost

Politická ekonomie, 2010, vol. 2010, issue 4, 488-503

Abstract: In this paper we analyze the dynamic conditional correlations between CEE stock markets (also known as countries from Vysehrad Group - V4) and developed European stock markets, with German DAX utilized as a benchmark. Our methodology is based on the DCC MV-GARCH approach. It is shown that the dynamic conditional correlations exhibit statistically significant growth after the integration of CEE countries to European Union, i.e. after the May 2004. The only index not exhibiting this trend is the Slovak SAX index.

Keywords: stock market integration; dynamic conditional correlations; CEE markets; DCC MV-GARCH model (search for similar items in EconPapers)
JEL-codes: C32 G01 G15 (search for similar items in EconPapers)
Date: 2010
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DOI: 10.18267/j.polek.743

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