Analiza powiazan pomiedzy rynkami kapitalowymi wybranych krajow grupy wyszehradzkiej

Adam Balcerzak (), Marcin Faldzinski (), Michal Pietrzak, Tomas Meluzin () and Marek Zineker ()
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Tomas Meluzin: Brno University of Technology
Marek Zineker: Brno University of Technology

No 167/2015, Working Papers from Institute of Economic Research

Abstract: Increasing globalization contributes to the growth of the interdependencies between capital markets. This phenomenon is becoming a significant exogenous factors influencing the effectiveness of national economic policies and it impacts on the risk management processes at the microeconomic level. Therefore, the identification of the linkages between capital markets and the analysis of changes in the strength of these relationships over time, can be the source of an important guidelines for national macroeconomic policy makers and can become an essential part of managing the risks associated with the influence of capital markets. Thus, the main objective of the proposed article is to analyze the interdependence between capital markets of selected countries of the Visegrad Group: Poland, Czech Republic and Hungary. The analysis of the relationship between these markets was supplemented with verification of their linkages with German capital market, which is quite close geographically, and additionally is usually considered as one of the leading markets in the European Union. In the econometric research DCC-GARCH model with the t-student conditional distribution was applied. The econometric analysis was done for the period 1997-2015, which gives the possibility to verify the trends in the evolution of interdependencies between the selected markets, measured here by conditional correlations.

Keywords: interdependences among capital markets; conditional variance and correlations; capital market; DCC-GARCH model; Visegrad Group (search for similar items in EconPapers)
JEL-codes: C32 D53 (search for similar items in EconPapers)
Date: 2015-12, Revised 2015-12
New Economics Papers: this item is included in nep-tra
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