Cointegration of Interdependencies Among Capital Markets of Chosen Visegrad Countries and Germany

Marcin Faldzinski (marf@umk.pl), Adam Balcerzak (a.balcerzak@uwm.edu.pl), Tomas Meluzin (meluzint@fbm.vutbr.cz), Michal Pietrzak and Marek Zinecker (zinecker@fbm.vutbr.cz)
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Tomas Meluzin: Brno University of Technology, Czech Republic
Marek Zinecker: Brno University of Technology, Czech Republic

Chapter 33 in 34th International Conference Mathematical Methods in Economics MME 2016 Conference Proceedings, 2016, vol. 1, pp 189-194 from Institute of Economic Research

Abstract: Identification of linkages among capital markets is crucial for forming policies that take into account risk associated with international financial markets interdependencies. Thus, the aim of the article is to analyse interdependencies among capital markets of Germany, Poland, Czech Republic and Hungary. The research hypothesis was given as follows: There is a similar course and changes in the interdependencies among capital markets of Germany and the markets of the mentioned countries of the Visegrad Group. In the research a DCC-GARCH model was applied. The model allowed to estimate conditional correlations that indicate strength of the interrelationship among the markets. Then, the cointegration analysis of the conditional correlations was conducted. The proposed econometric procedure allowed to verify the research hypothesis. It confirmed that the capital markets of Germany, Poland, Czech Republic and Hungary are characterised with similar long-term path. Additionally, the research showed that changes in the direction and strength of the interrelationships among the studied markets are determined by the German capital market in the long-term, which is a leader in the region.

Keywords: cointegration of interdependencies among capital markets; conditional correlation; DCC-GARCH model; conditional variance (search for similar items in EconPapers)
JEL-codes: C58 G15 (search for similar items in EconPapers)
Date: 2016
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Working Paper: Cointegration of Interdependencies Among Capital Markets of Chosen Visegrad Countries and Germany (2016)
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