Stock Market Integration: DCC MV-GARCH Model
AbstractIn 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.
Download InfoIf 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.
Bibliographic InfoArticle provided by University of Economics, Prague in its journal Politická ekonomie.
Volume (Year): 2010 (2010)
Issue (Month): 4 ()
Postal: Redakce Politické ekonomie, Vysoká škola ekonomická, nám. W. Churchilla 4, 130 67 Praha 3
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G01 - Financial Economics - - General - - - Financial Crises
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jeffrey Jaffe & R. Westerfield, . "The Week-End Effect in Common Stock Returns: The International Evidence," Rodney L. White Center for Financial Research Working Papers 3-85, Wharton School Rodney L. White Center for Financial Research.
- Panton, Don B. & Lessig, V. Parker & Joy, O. Maurice, 1976. "Comovement of International Equity Markets: A Taxonomic Approach," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 11(03), pages 415-432, September.
- Jaffe, Jeffrey F & Westerfield, Randolph, 1985. " The Week-End Effect in Common Stock Returns: The International Evidence," Journal of Finance, American Finance Association, vol. 40(2), pages 433-54, June.
- Hilliard, Jimmy E, 1979. "The Relationship between Equity Indices on World Exchanges," Journal of Finance, American Finance Association, vol. 34(1), pages 103-14, March.
- Martens, Martin & Poon, Ser-Huang, 2001. "Returns synchronization and daily correlation dynamics between international stock markets," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1805-1827, October.
- Ping Wang & Tomoe Moore, 2008. "Stock Market Integration For The Transition Economies: Time-Varying Conditional Correlation Approach," Manchester School, University of Manchester, vol. 76(s1), pages 116-133, 09.
- Arshanapalli, Bala & Doukas, John, 1993. "International stock market linkages: Evidence from the pre- and post-October 1987 period," Journal of Banking & Finance, Elsevier, vol. 17(1), pages 193-208, February.
- Fratzscher, Marcel, 2001.
"Financial market integration in Europe: on the effects of EMU on stock markets,"
Working Paper Series
0048, European Central Bank.
- Fratzscher, Marcel, 2002. "Financial Market Integration in Europe: On the Effects of EMU on Stock Markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 7(3), pages 165-93, July.
- Fratzscher, M., 2001. "Financial Market Integration in Europe: On the Effects of EMU on Stock Markets," Papers 48, Quebec a Montreal - Recherche en gestion.
- Roberto Rigobon, 2002.
"Contagion: How to Measure It?,"
in: Preventing Currency Crises in Emerging Markets, pages 269-334
National Bureau of Economic Research, Inc.
- Collins, Daryl & Biekpe, Nicholas, 2003. "Contagion: a fear for African equity markets?," Journal of Economics and Business, Elsevier, vol. 55(3), pages 285-297.
- Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 241-256, June.
- Voronkova, Svitlana, 2004. "Equity market integration in Central European emerging markets: A cointegration analysis with shifting regimes," International Review of Financial Analysis, Elsevier, vol. 13(5), pages 633-647.
- Ripley, Duncan M, 1973. "Systematic Elements in the Linkage of National Stock Market Indices," The Review of Economics and Statistics, MIT Press, vol. 55(3), pages 356-61, August.
- Malkamäki, Markku & Martikainen, Teppo & Perttunen, Jukka & Puttonen, Vesa, 1993. "On the causality and co-movements of scandinavian stock market returns," Scandinavian Journal of Management, Elsevier, vol. 9(1), pages 67-76, March.
- �. Gjerde & F. S�ttem, 1995. "Linkages among European and world stock markets," The European Journal of Finance, Taylor & Francis Journals, vol. 1(2), pages 165-179.
- Jeffrey Jaffe & R. Westerfield, . "The Week-End Effect in Common Stock Returns: The International Evidence," Rodney L. White Center for Financial Research Working Papers 03-85, Wharton School Rodney L. White Center for Financial Research.
- Hamao, Yasushi & Masulis, Ronald W & Ng, Victor, 1990. "Correlations in Price Changes and Volatility across International Stock Markets," Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 281-307.
- Theodore Syriopoulos, 2004. "International portfolio diversification to Central European stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 14(17), pages 1253-1268.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Vaclav Subrta).
If references are entirely missing, you can add them using this form.