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Stock Market Integration: DCC MV-GARCH Model

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  • Eduard Baumöhl
  • Mária Farkašovská
  • Tomáš Výrost

Abstract

In this paper we analyze the dynamic conditional correlations between CEE stock markets (also known as countries from Vysehrad Group - V4) and developed European stock markets, with German DAX utilized as a benchmark. Our methodology is based on the DCC MV-GARCH approach. It is shown that the dynamic conditional correlations exhibit statistically significant growth after the integration of CEE countries to European Union, i.e. after the May 2004. The only index not exhibiting this trend is the Slovak SAX index.

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Bibliographic Info

Article provided by University of Economics, Prague in its journal Politická ekonomie.

Volume (Year): 2010 (2010)
Issue (Month): 4 ()
Pages: 488-503

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Handle: RePEc:prg:jnlpol:v:2010:y:2010:i:4:id:743:p:488-503

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Related research

Keywords: stock market integration; dynamic conditional correlations; DCC MV-GARCH model; CEE markets;

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References

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