Structural Changes in the Interdependence Among Polish and Key Capital Markets in the World in the Years 2004–2014

Michal Pietrzak, Adam P. Balcerzak () and Edyta Łaszkiewicz ()
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Adam P. Balcerzak: Nicolaus Copernicus University in Torun
Edyta Łaszkiewicz: University of Lodz

A chapter in Eurasian Business Perspectives, 2018, pp 49-62 from Springer

Abstract: Abstract Globalization process and main determinants of development increase the level of interrelationships among highly developed economies. The role of these factors especially in relation to capital markets has become an important subject of economic research. As a result, the main aim of the article was to analyze the changes in the interdependence among the most important capital markets in the world and Polish capital market with special consideration of potential influence of the last global financial crisis. Thus, the interdependence among capital markets of United States, Great Britain, Germany and Poland were analyzed. In the research DCC-GARCH model was used. In the first stage the interdependence among the selected markets was analyzed. A research hypothesis pointing to a similar course and changes of the interdependence among the markets was verified. Then the analysis of breakpoints for the received conditional correlations processes was performed. The procedure enabled to verify the influence of the global financial crisis on the interdependence among the markets and divide the analyzed period in three sub-periods: a time of prosperity, a time of financial distress and a period of return to relative stability.

Keywords: Capital markets interdependence; Multiple breakpoint testing; DCC-GARCH model; Conditional variance; Conditional correlation; Bai-Peron test (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:spr:eurchp:978-3-319-67913-6_4

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DOI: 10.1007/978-3-319-67913-6_4

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