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Dynamic Analysis of Selected European Stock Markets

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  • Jiří Trešl
  • Dagmar Blatná
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    Abstract

    The behaviour of selected European stock indices in the period 2001-2005 was analysed. UKX (GB), DAX (Germany), CAC (France) and MIBTEL (Italy) represented well established West European markets, whereas PX-50 (Czech Republic), SKSM (Slovak Republic), BUX (Hungary) and WIG (Poland) were the examples of Central European emerging ones. The subject of this analysis were logarithmic daily returns computed from closing values of corresponding indices. Cross correlation function reached typical values 0.7 (West Europe) and 0.4 (Central Europe) excepting the Slovak Republic. The patterns of both common and solitary movements were revealed with the use of principal component and cluster analysis. To establish some dynamical relations in return time-series, vector autoregression models and Granger causality tests were employed. As for West Europe, the causal chain UKX_MIBTEL_DAX_CAC was revealed. On the other hand, the form of this chain for Central Europe was PX-50_BUX_WIG. Finally, the behaviour of both BUX and WIG returns was strongly determined by all West European counterparts.

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    Bibliographic Info

    Article provided by University of Economics, Prague in its journal Prague Economic Papers.

    Volume (Year): 2007 (2007)
    Issue (Month): 4 ()
    Pages: 291-302

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    Handle: RePEc:prg:jnlpep:v:2007:y:2007:i:4:id:309:p:291-302

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    Related research

    Keywords: stock indices; return modelling; inancial time series; Granger causality;

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    1. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, 09.
    2. Eugene F. Fama, 1968. "Risk, Return And Equilibrium: Some Clarifying Comments," Journal of Finance, American Finance Association, vol. 23(1), pages 29-40, 03.
    3. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
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