Determinanty integrácie akciových trhov krajín V4

Determinants of CEE-4 Stock Market Integration

Eduard Baumohl

Politická ekonomie, 2014, vol. 2014, issue 3, 347-365

Abstract: Stock market integration of CEE-4 (the so-called Visegrad group or V4) and G7 countries is examined during the period from January 4, 1998 to August 5, 2012. As a proxy of integration we use dynamic conditional correlations estimated in the standard DCC and asymmetric DCC model framework. It is showed that during the recent financial crisis, conditional correlations between the CEE-4 and developed markets have increased more significantly than after the entry of the CEE-4 countries into the European Union. Finally, the estimated correlations exhibit significant relationship with conditional volatility with a positive feedback. This provides an evidence of strengthening relationships between markets under the study during the more volatile periods.

Keywords: volatility; stock market integration; dynamic conditional correlations; CEE-4 countries (V4 group); G7 countries (search for similar items in EconPapers)
JEL-codes: C32 G01 G15 (search for similar items in EconPapers)
Date: 2014
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DOI: 10.18267/j.polek.955

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