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The Dynamics and Strength of Linkages between the Stock Markets in the Czech Republic, Hungary and Poland after their EU Accession

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  • Malgorzata Doman

    (Poznan University of Economics)

  • Ryszard Doman

    (Adam Mickiewicz University in Poznan)

Abstract

We analyze the dynamics and strength of linkages between the Czech, Hungarian and Polish stock markets after the EU accession of the corresponding countries. In addition, we examine linkages between each of the markets and developed markets (European and US). The analysis is based on the daily quotations of the main representative stock indices (PX, BUX, WIG20, DAX, S&P 500) and includes the period from May 5, 2004 to July 20, 2012. The dynamics of dependencies is modeled by means of Markov-switching copula models, and the applied measures of the strength of the linkages are dynamic Spearman’s rho and tail dependence coefficients. The results show that dependencies between the considered emerging markets are very sensitive on market situation, but the linkages of these markets with the developed ones are stable.

Suggested Citation

  • Malgorzata Doman & Ryszard Doman, 2013. "The Dynamics and Strength of Linkages between the Stock Markets in the Czech Republic, Hungary and Poland after their EU Accession," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 13, pages 5-32.
    • Handle: RePEc:cpn:umkdem:v:13:y:2013:p:5-32
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    References listed on IDEAS

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    Cited by:

    1. Sekuła Paweł, 2019. "Causality Analysis Between Stock Market Indices," Financial Sciences. Nauki o Finansach, Sciendo, vol. 24(1), pages 74-93, March.
    2. Kliber, Agata & Płuciennik, Piotr, 2017. "Euro or not? Vulnerability of Czech and Slovak economies to regional and international turmoil," Economic Modelling, Elsevier, vol. 60(C), pages 313-323.

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    More about this item

    Keywords

    Central European stock market; conditional dependence; Markov-switching copula model; Spearman’s rho; tail dependence; model confidence set; stock index.;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G01 - Financial Economics - - General - - - Financial Crises
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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