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Empirical Analysis of Persistence and Dependence Patterns Among the Capital Markets

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  • Miloslav Vošvrda

Abstract

This paper investigates dependence structures on selected world stock markets. Firstly, a non-parametric univariate measure of a persistence concerning capital markets efficiency is derived and computed. Secondly, we focus on computing of a non-parametric multivariate measure of the persistence indicating an ability of the price mechanisms to hold capital market efficiency under interaction of shocks.

Suggested Citation

  • Miloslav Vošvrda, 2006. "Empirical Analysis of Persistence and Dependence Patterns Among the Capital Markets," Prague Economic Papers, University of Economics, Prague, vol. 2006(3), pages 231-242.
  • Handle: RePEc:prg:jnlpep:v:2006:y:2006:i:3:id:286:p:231-242
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    References listed on IDEAS

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    1. Pesaran, M. H. & Pierse, R. G. & Lee, K. C., 1993. "Persistence, cointegration, and aggregation : A disaggregated analysis of output fluctuations in the U.S. economy," Journal of Econometrics, Elsevier, vol. 56(1-2), pages 57-88, March.
    2. van de Gucht, Linda M. & Dekimpe, Marnik G. & Kwok, Chuck C. Y., 1996. "Persistence in foreign exchange rates," Journal of International Money and Finance, Elsevier, vol. 15(2), pages 191-220, April.
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    Cited by:

    1. Michał Markun & Anna Mospan, 2015. "Stationarity and persistence of the term premia in the Polish money market," NBP Working Papers 227, Narodowy Bank Polski, Economic Research Department.

    More about this item

    Keywords

    dependence structure; shock transmission; non-parametric univariate ? multivariate measures of the shock persistence;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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