Advanced Search
MyIDEAS: Login

Interactions between Markets and Dually Listed Stocks: The Case of the Czech Republic

Contents:

Author Info

  • Richard Podpiera

Abstract

This paper considers the interaction among equity markets in the Czech Republic and those in developed countries. Also considered are cross-listed securities traded in the Czech Republic whose global depository receipts (GDRs) are listed in London. The models used include Granger causality, cointegration, and error-correction models. The results demonstrate that the Czech market is indeed affected by the development of major international equity indices. This, however, explains little of domestic market variability, so other factors related to stock market development need to be explicated. The prices of cross-listed securities on the domestic and London markets are cointegrated and an error-correction mechanism exists that corrects random deviations from the parity. As this error-correction mechanism appears to be rather symmetric, and as the Granger causality tests suggest different causality patterns for individual stocks, none of the two markets emerges as the dominant one. A variety of interactions exist between the local and London GDR markets.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://journal.fsv.cuni.cz/storage/214_003_166_181.pdf
Download Restriction: no

Bibliographic Info

Article provided by Charles University Prague, Faculty of Social Sciences in its journal Finance a uver - Czech Journal of Economics and Finance.

Volume (Year): 51 (2001)
Issue (Month): 3 (March)
Pages: 166-181

as in new window
Handle: RePEc:fau:fauart:v:51:y:2001:i:3:p:166-181

Contact details of provider:
Postal: Opletalova 26, CZ-110 00 Prague
Phone: +420 2 222112330
Fax: +420 2 22112304
Email:
Web page: http://ies.fsv.cuni.cz/
More information through EDIRC

Related research

Keywords: equity indices; causality; cointegration; cross-listed stocks;

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:fau:fauart:v:51:y:2001:i:3:p:166-181. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lenka Herrmannova).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.