EconPapers    
Economics at your fingertips  
 

Interrelationship between DAX Index and Four Largest Eastern European Stock Markets

Dejan Živkov (), Jovan Njegić () and Ivan Milenković ()
Additional contact information
Jovan Njegić: Novi Sad school of business, University of Novi Sad, Serbia
Ivan Milenković: Faculty of Economics Subotica, University of Novi Sad, Serbia

Journal for Economic Forecasting, 2018, issue 3, 88-103

Abstract: This paper examines the interrelationship between German stock index and four indices of Emerging European markets (EEM). For the research purposes, we utilize asymmetric BEKK-GARCH models with and without structural breaks insertion. The dynamic correlations show that high level of integration exists between German stock market and selected EEMs, which undermines diversification opportunities. The shocks from the Czech market have unidirectional shock spillover impact on German stock market, while Polish and Romanian indices suffer shock impact that occur in the German stock market but it does not happen vice-versa. Spillover results can be used to forecast future dynamics of receiving variable. Utilizing dummy variables in the A-BEKK-GARCH framework, this paper raises awareness that proper model assessment is necessary, in order to get more reliable estimates that can be used in decision-making process.

Keywords: stocks; A-BEKK-GARCH; structural breaks; spillover; dynamic correlation (search for similar items in EconPapers)
JEL-codes: C51 C58 G15 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.ipe.ro/rjef/rjef3_18/rjef3_2018p88-103.pdf

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rjr:romjef:v::y:2018:i:3:p:88-103

Access Statistics for this article

Journal for Economic Forecasting is currently edited by Lucian Liviu Albu and Corina Saman

More articles in Journal for Economic Forecasting from Institute for Economic Forecasting Contact information at EDIRC.
Bibliographic data for series maintained by Corina Saman ().

 
Page updated 2019-10-02
Handle: RePEc:rjr:romjef:v::y:2018:i:3:p:88-103