Vplyv nemeckého akciového trhu na akciové trhy krajín V4

Influence of German Stock Market on Stock Markets of V4 Countries

Peter Árendáš, Božena Chovancová and Ľuboš Pavelka

Politická ekonomie, 2020, vol. 2020, issue 5, 554-568

Abstract: Due to progressing globalisation and deepening integration of global financial markets, the topic of relations between individual markets has got into the centre of attention of many economists. Especially on the stock markets, we can observe a tendency of the more developed markets to affect developments on the less developed markets. This is also valid for stock markets of the Central and Eastern European (CEE) countries, the V4 countries included. In the case of returns and volatilities of the V4 stock markets, it is possible to expect a strong influence of the German stock market. We follow this influence using the Granger causality. Our analysis shows that in the period 1999-2018, the German DAX stock index was Granger-causing the development of the Czech (PX), Hungarian (BUX) and Polish (WIG 20) stock indices, while this relation was not confirmed for DAX and the Slovak stock index SAX. However, the analysis of two sub-periods (1999-2007 and 2010-2018) shows slightly different results.

Keywords: stock market; DAX; V4; causality; return; volatility (search for similar items in EconPapers)
JEL-codes: F65 G12 G15 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.18267/j.polek.1288

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