Short-Term Shocks and Long-Term Relationships of Interdependencies among Central European Capital Markets

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dc.contributor.authorPietrzak, Michał Bernardcs
dc.contributor.authorFałdziński, Marcincs
dc.contributor.authorBalcerzak, Adam Przemyslawcs
dc.contributor.authorMeluzín, Tomášcs
dc.contributor.authorZinecker, Marekcs
dc.coverage.issue1cs
dc.coverage.volume10cs
dc.date.accessioned2020-08-04T11:57:46Z
dc.date.available2020-08-04T11:57:46Z
dc.date.issued2017-04-07cs
dc.description.abstractThe article focuses on the problem of interdependences among Central European capital markets. The main aim of this research is to identify long-term interdependences among Austrian, Czech, Hungarian and Polish capital markets and the market of Germany. Additionally, the impact of short-term shocks on these markets is under evaluation. In the first step of the research the interdependencies among the capital markets in the years 1997-2015 were verified. For this purpose the DCC-GARCH model with the conditional t-distribution was used. In the second step, an analysis of cointegration for the interdependencies among the markets was carried out. The authors proposed to include conditional variances of the analysed markets as additional explanatory variables in the cointegration analysis. As the conditional variance most often reflects the impact of short-term shocks, the proposed approach allowed to take into account short-term market shocks in the cointegration analysis. The results enabled to identify long-term path for the course of the interdependences among markets of Germany, Austria, Czech Republic, Hungary and Poland. The mentioned Central European capital markets make a group of markets characterized with similar long-term path, which are focused around the dominant market of Germany.en
dc.formattextcs
dc.format.extent61-77cs
dc.format.mimetypeapplication/pdfcs
dc.identifier.citationEconomics and Sociology. 2017, vol. 10, issue 1, p. 61-77.en
dc.identifier.doi10.14254/2071-789X.2017/10-1/5cs
dc.identifier.issn2071-789Xcs
dc.identifier.other135855cs
dc.identifier.urihttp://hdl.handle.net/11012/70183
dc.language.isoencs
dc.publisherCenter Sociological Researchcs
dc.relation.ispartofEconomics and Sociologycs
dc.relation.urihttp://www.economics-sociology.eu/?470,en_short-term-shocks-and-long-term-relationships-of-interdependencies-among-central-european-capital-marketscs
dc.rightsCreative Commons Attribution 4.0 Internationalcs
dc.rights.accessopenAccesscs
dc.rights.sherpahttp://www.sherpa.ac.uk/romeo/issn/2071-789X/cs
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/cs
dc.subjectcointegration analysisen
dc.subjectDCC-GARCH modelen
dc.subjectconditional varianceen
dc.subjectconditional correlationen
dc.subjectshort-term shocksen
dc.titleShort-Term Shocks and Long-Term Relationships of Interdependencies among Central European Capital Marketsen
dc.type.driverarticleen
dc.type.statusPeer-revieweden
dc.type.versionpublishedVersionen
sync.item.dbidVAV-135855en
sync.item.dbtypeVAVen
sync.item.insts2020.08.04 13:57:46en
sync.item.modts2020.08.04 12:50:28en
thesis.grantorVysoké učení technické v Brně. Fakulta podnikatelská. Ústav ekonomikycs
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