Where Do the Leaders Trade?

Jan Hanousek and Libor Nemecek

No 48, William Davidson Institute Working Papers Series from William Davidson Institute at the University of Michigan

Abstract: In the present paper we concentrate on the interaction and sharing of the information between the organized markets in the Czech Republic. Moreover, the interesting principal-agent problem between the Prague Stock Exchange (PSE) and RMS (over the counter system) is studied to identify the leaders and followers in the information transmission process. The analysis shows that new information penetrates through the main market of the PSE, and that RMS dominates on the segments with lower liquidity. The leading position of the PSE was confirmed via VAR models. Basically, a shock on the PSE affected all segments of both markets, while a shock to any segment of the RMS had an effect (if any) only on the corresponding segment of the PSE. Because of missing links between some market segments, we conclude that the PSE-RMS do not behave as one integrated market yet.

Keywords: comovements of financial markets; emerging markets; Granger causality; integration of emerging markets (search for similar items in EconPapers)
Pages: pages
Date: 1997-05-01
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.wdi.umich.edu/files/Publications/WorkingPapers/wp48.pdf
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.wdi.umich.edu/files/Publications/WorkingPapers/wp48.pdf [302 Found]--> https://wdi.umich.edu/files/Publications/WorkingPapers/wp48.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:wdi:papers:1995-48

Access Statistics for this paper

More papers in William Davidson Institute Working Papers Series from William Davidson Institute at the University of Michigan 724 E. University Ave, Wyly Hall 1st Flr, Ann Arbor MI 48109. Contact information at EDIRC.
Bibliographic data for series maintained by WDI ().