Interdependence among Capital Markets of Germany, Poland and Baltic States
Tomas Meluzin (),
Marek Zinecker (),
Michal Pietrzak (),
Marcin Faldzinski () and
Adam Balcerzak ()
Additional contact information
Tomas Meluzin: Brno University of Technology, Czech Republic
Marek Zinecker: Brno University of Technology, Czech Republic
Marcin Faldzinski: Nicolaus Copernicus University, Poland
No 36/2016, Working Papers from Institute of Economic Research
The growing interdependencies among capital markets are becoming significant factor affecting process of risk management both at macro and microeconomic level. Thus, the aim of the article is the analysis of interdependencies among capital markets of Germany, Poland and Baltic States. In order to measure the interdependencies DCC-GARCH model was applied. The research was conducted for the years 2004-2015. The capital market of Germany was taken as the one that has the biggest influence on the analysed Central and Eastern European markets. The conducted research enabled to determine the different nature of the interdependencies among the capital markets of Baltic States and Poland on one side and German capital market on the other side.
Keywords: capital market; conditional variance; conditional correlation; DCC-GARCH model; integration (search for similar items in EconPapers)
JEL-codes: G15 C58 (search for similar items in EconPapers)
Date: 2016-09, Revised 2016-09
New Economics Papers: this item is included in nep-tra
References: Add references at CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
http://www.badania-gospodarcze.pl/images/Working_Papers/2016_No_36.pdf First version, 2016 (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:pes:wpaper:2016:no36
Access Statistics for this paper
More papers in Working Papers from Institute of Economic Research Contact information at EDIRC.
Bibliographic data for series maintained by Adam P. Balcerzak ().