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Stock Market Comovements in Central Europe: Evidence from Asymmetric DCC Model

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  1. Areola Hernandez, Jose & Uddin, Gazi Salah & Dutta, Anupam & Ahmed, Ali & Kang, Sang Hoon, 2020. "Are ethanol markets globalized or regionalized?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 551(C).
  2. Huo, Rui & Ahmed, Abdullahi D., 2017. "Return and volatility spillovers effects: Evaluating the impact of Shanghai-Hong Kong Stock Connect," Economic Modelling, Elsevier, vol. 61(C), pages 260-272.
  3. Shah, Anand & Bahri, Anu, 2022. "Metanomics: Adaptive market and volatility behaviour in Metaverse," MPRA Paper 114442, University Library of Munich, Germany.
  4. Schäfer, Larissa, 2015. "Essays in banking and international finance," Other publications TiSEM 54db9c22-05fa-4444-97d5-1, Tilburg University, School of Economics and Management.
  5. Borjigin, Sumuya & Gao, Ting & Sun, Yafei & An, Biao, 2020. "For evil news rides fast, while good news baits later?—A network based analysis in Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 551(C).
  6. Krenar AVDULAJ & Jozef BARUNIK, 2013. "Can We Still Benefit from International Diversification? The Case of the Czech and German Stock Markets," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(5), pages 425-442, November.
  7. Tomas Fiala & Tomas Havranek, 2014. "Ailing Mothers, Healthy Daughters? Contagion in the Central European Banking Sector," Working Papers IES 2014/10, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2014.
  8. Dragan Tevdovski & Viktor Stojkoski, 2021. "What is Behind Extreme Negative Returns co-movement in the South Eastern European Stock Markets?," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 68(1), pages 43-61, March.
  9. Roumpis, Efthymios & Syriopoulos, Theodore, 2014. "Dynamics and risk factors in hedge funds returns: Implications for portfolio construction and performance evaluation," The Journal of Economic Asymmetries, Elsevier, vol. 11(C), pages 58-77.
  10. Lim, Siok Jin, 2020. "Portfolio diversification opportunities for U.S. Islamic investors with its trading partners when the world catches a cold: A Multivariate-GARCH and wavelet approach," MPRA Paper 103295, University Library of Munich, Germany.
  11. Reboredo, Juan C. & Tiwari, Aviral Kumar & Albulescu, Claudiu Tiberiu, 2015. "An analysis of dependence between Central and Eastern European stock markets," Economic Systems, Elsevier, vol. 39(3), pages 474-490.
  12. Bellenzier, Lucia & Vitting Andersen, Jørgen & Rotundo, Giulia, 2016. "Contagion in the world's stock exchanges seen as a set of coupled oscillators," Economic Modelling, Elsevier, vol. 59(C), pages 224-236.
  13. Tsuji, Chikashi, 2020. "Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management," International Review of Financial Analysis, Elsevier, vol. 70(C).
  14. Sensoy, Ahmet & Eraslan, Veysel & Erturk, Mutahhar, 2016. "Do sovereign rating announcements have an impact on regional stock market co-movements? The case of Central and Eastern Europe," Economic Systems, Elsevier, vol. 40(4), pages 552-567.
  15. Boubaker, Sabri & Jouini, Jamel & Lahiani, Amine, 2016. "Financial contagion between the US and selected developed and emerging countries: The case of the subprime crisis," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 14-28.
  16. Sercan Demiralay & Veysel Ulusoy, 2017. "How Has the Behavior of Cross-Market Correlations Altered During Financial and Debt Crises?," Manchester School, University of Manchester, vol. 85(6), pages 765-794, December.
  17. Noori, Mohammad & Hitaj, Asmerilda, 2023. "Dissecting hedge funds' strategies," International Review of Financial Analysis, Elsevier, vol. 85(C).
  18. Ben Slimane, Faten & Boubaker, Sabri & Jouini, Jamel, 2020. "Does the Euro–Mediterranean Partnership contribute to regional integration?," Journal of Policy Modeling, Elsevier, vol. 42(2), pages 328-348.
  19. Sekuła Paweł, 2019. "Causality Analysis Between Stock Market Indices," Financial Sciences. Nauki o Finansach, Sciendo, vol. 24(1), pages 74-93, March.
  20. Lucia Bellenzier & J{o}rgen Vitting Andersen & Giulia Rotundo, 2016. "Contagion in the world's stock exchanges seen as a set of coupled oscillators," Papers 1602.07452, arXiv.org.
  21. Wafa Miled & Zied Ftiti & Jean-Michel Sahut, 2022. "Spatial contagion between financial markets: new evidence of asymmetric measures," Annals of Operations Research, Springer, vol. 313(2), pages 1183-1220, June.
  22. Baumohl, Eduard & Lyocsa, Stefan, 2013. "Volatility and dynamic conditional correlations of European emerging stock markets," MPRA Paper 49898, University Library of Munich, Germany.
  23. Eduard Baumöhl & Štefan Lyócsa, 2014. "How smooth is the stock market integration of CEE-3?," William Davidson Institute Working Papers Series wp1079, William Davidson Institute at the University of Michigan.
  24. Michał Adam & Piotr Bańbuła & Michał Markun, 2013. "Dependence and contagion between asset prices in Poland and abroad. A copula approach," NBP Working Papers 169, Narodowy Bank Polski.
  25. Baumöhl, Eduard, 2013. "Stock market integration between the CEE-4 and the G7 markets: Asymmetric DCC and smooth transition approach," MPRA Paper 43834, University Library of Munich, Germany.
  26. Lukáš Frýd, 2018. "Asymetrie během finančních krizí: asymetrická volatilita převyšuje důležitost asymetrické korelace [Asymmetry of Financial Time Series During the Financial Crisis: Asymmetric Volatility Outperforms," Politická ekonomie, Prague University of Economics and Business, vol. 2018(3), pages 302-329.
  27. Adriana AnaMaria Davidescu & Eduard Mihai Manta & Razvan Gabriel Hapau & Mihaela Gruiescu & Oana Mihaela Vacaru (Boita), 2023. "Exploring the Contagion Effect from Developed to Emerging CEE Financial Markets," Mathematics, MDPI, vol. 11(3), pages 1-50, January.
  28. Luka Sikic & Mislav Sagovac, 2017. "An international integration history of the Zagreb Stock Exchange," Public Sector Economics, Institute of Public Finance, vol. 41(2), pages 227-257.
  29. Narcisa Kadlcakova & Lubos Komarek & Zlatuse Komarkova & Michal Hlavacek, 2016. "Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(11), pages 2595-2609, November.
  30. Niţoi, Mihai & Pochea, Maria Miruna, 2020. "Time-varying dependence in European equity markets: A contagion and investor sentiment driven analysis," Economic Modelling, Elsevier, vol. 86(C), pages 133-147.
  31. Tsuji, Chikashi, 2018. "Return transmission and asymmetric volatility spillovers between oil futures and oil equities: New DCC-MEGARCH analyses," Economic Modelling, Elsevier, vol. 74(C), pages 167-185.
  32. Dogus Emin, 2016. "Effects of Global Incidents on Dynamic Correlations of Emerging European Countries," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 4(1), pages 1-23.
  33. Kralik Lóránd István, 2018. "Conditional Correlation on CEE Stock Markets," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 130-136, December.
  34. Liow, Kim Hiang & Newell, Graeme, 2016. "Real estate global beta and spillovers: An international study," Economic Modelling, Elsevier, vol. 59(C), pages 297-313.
  35. Vyrost, Tomas & Baumöhl, Eduard & Lyocsa, Stefan, 2013. "What Drives the Stock Market Integration in the CEE-3?," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 61(1), pages 67-81.
  36. Lyócsa, Štefan & Baumöhl, Eduard, 2015. "Similarity of emerging market returns under changing market conditions: Markets in the ASEAN-4, Latin America, Middle East, and BRICs," Economic Systems, Elsevier, vol. 39(2), pages 253-268.
  37. Štefan Lyócsa & Roman Horváth, 2018. "Stock Market Contagion: a New Approach," Open Economies Review, Springer, vol. 29(3), pages 547-577, July.
  38. Muhammad Hanif & Ariba Sabah, 2020. "Stock Markets’ Integration in Post Financial Crisis Era: Evidence from Literature," Capital Markets Review, Malaysian Finance Association, vol. 28(2), pages 43-71.
  39. Md. Saifur Rahman & Farihana Shahari, 2021. "Does the financial cooperation agreement increase the interdependency among ASEAN+3 equity markets? A Markov switching approach," International Economics and Economic Policy, Springer, vol. 18(4), pages 869-899, October.
  40. Jouini, Jamel, 2015. "New empirical evidence from assessing financial market integration, with application to Saudi Arabia," Economic Modelling, Elsevier, vol. 49(C), pages 198-211.
  41. Kundu, Srikanta & Sarkar, Nityananda, 2016. "Return and volatility interdependences in up and down markets across developed and emerging countries," Research in International Business and Finance, Elsevier, vol. 36(C), pages 297-311.
  42. Jozef BARUNÍK & Lukáš VÁCHA, 2013. "Contagion among Central and Eastern European Stock Markets during the Financial Crisis," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(5), pages 443-453, November.
  43. Marinela Adriana Finta & Bart Frijns & Alireza Tourani-Rad, 2019. "Time-varying contemporaneous spillovers during the European Debt Crisis," Empirical Economics, Springer, vol. 57(2), pages 423-448, August.
  44. Eduard Baumöhl, 2014. "Determinanty integrácie akciových trhov krajín V4 [Determinants of CEE-4 Stock Market Integration]," Politická ekonomie, Prague University of Economics and Business, vol. 2014(3), pages 347-365.
  45. Mensah, Jones Odei & Alagidede, Paul, 2017. "How are Africa's emerging stock markets related to advanced markets? Evidence from copulas," Economic Modelling, Elsevier, vol. 60(C), pages 1-10.
  46. Khamis Hamed Al‐Yahyaee & Syed Jawad Hussain Shahzad & Walid Mensi & Seong‐Min Yoon, 2021. "Is there a systemic risk between Sharia, Sukuk, and GCC stock markets? A ΔCoVaR risk metric‐based copula approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2904-2926, April.
  47. Alexakis, Christos & Kenourgios, Dimitris & Pappas, Vasileios & Petropoulou, Athina, 2021. "From dotcom to Covid-19: A convergence analysis of Islamic investments," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
  48. Ngo Thai Hung, 2022. "Spillover Effects Between Stock Prices and Exchange Rates for the Central and Eastern European Countries," Global Business Review, International Management Institute, vol. 23(2), pages 259-286, April.
  49. Chen, Peng, 2018. "Understanding international stock market comovements: A comparison of developed and emerging markets," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 451-464.
  50. MOSCALU, Maricica, 2015. "Financial Integration In The Euro Area And Smes’ Access To Finance: Evidence Based On Aggregate Survey Data," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 19(2), pages 51-66.
  51. Tomasz Wojtowicz, 2016. "Intraday patterns in time-varying correlations among Central European stock markets," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 17(1), pages 149-162.
  52. Lucia Bellenzier & Jørgen Vitting Andersen & Giulia Rotundo, 2015. "Contagion in the world's stock exchanges seen as a set of coupled oscillators," Documents de travail du Centre d'Economie de la Sorbonne 15078, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  53. Nathan Lael Joseph & Thi Thuy Anh Vo & Asma Mobarek & Sabur Mollah, 2020. "Volatility and asymmetric dependence in Central and East European stock markets," Review of Quantitative Finance and Accounting, Springer, vol. 55(4), pages 1241-1303, November.
  54. Tsuji, Chikashi, 2018. "New DCC analyses of return transmission, volatility spillovers, and optimal hedging among oil futures and oil equities in oil-producing countries," Applied Energy, Elsevier, vol. 229(C), pages 1202-1217.
  55. Boubaker, Sabri & Jouini, Jamel, 2014. "Linkages between emerging and developed equity markets: Empirical evidence in the PMG framework," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 322-335.
  56. Majdoub, Jihed & Mansour, Walid & Jouini, Jamel, 2016. "Market integration between conventional and Islamic stock prices," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 436-457.
  57. Tetsuji Tanaka & Jin Guo, 2020. "International price volatility transmission and structural change: a market connectivity analysis in the beef sector," Palgrave Communications, Palgrave Macmillan, vol. 7(1), pages 1-13, December.
  58. Fresoli, Diego E. & Ruiz, Esther, 2016. "The uncertainty of conditional returns, volatilities and correlations in DCC models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 170-185.
  59. Alexakis, Christos & Pappas, Vasileios, 2018. "Sectoral dynamics of financial contagion in Europe - The cases of the recent crises episodes," Economic Modelling, Elsevier, vol. 73(C), pages 222-239.
  60. Kersti Harkmann, 2022. "Integration of the Baltic stock markets with developed European markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 506-517, January.
  61. Claudiu Tiberiu Albulescu & Aviral Kumar Tiwari & Phouphet Kyophilavong, 2021. "Nonlinearities and Chaos: A New Analysis of CEE Stock Markets," Mathematics, MDPI, vol. 9(7), pages 1-13, March.
  62. Jasmina Ðuraškovic & Slavica Manic & Dejan Živkov, 2019. "Multiscale Volatility Transmission and Portfolio Construction Between the Baltic Stock Markets," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 69(2), pages 211-235, April.
  63. Eduard Baumöhl & Štefan Lyócsa, 2014. "Risk-Return Convergence in CEE Stock Markets: Structural Breaks and Market Volatility," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 64(5), pages 352-373, November.
  64. Anna Czapkiewicz & Tomasz Wojtowicz, 2017. "Spatial contagion between stock markets in Central Europe," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 18(1), pages 23-46.
  65. Bahcivan, Hulusi & Karahan, Cenk C., 2022. "High frequency correlation dynamics and day-of-the-week effect: A score-driven approach in an emerging market stock exchange," International Review of Financial Analysis, Elsevier, vol. 80(C).
  66. Tihana Škrinjarić, 2022. "Higher Moments Actually Matter: Spillover Approach for Case of CESEE Stock Markets," Mathematics, MDPI, vol. 10(24), pages 1-34, December.
  67. Kamaruzdin, Thaqif & Masih, Mansur, 2014. "An inquiry into the stability of Islamic Financial Services Institutions in terms of volatility, risk and correlations: A case study of Malaysia employing M-GARCH t-DCC and MODWT Wavelet approaches," MPRA Paper 60248, University Library of Munich, Germany.
  68. Mofleh Alshogeathri & Jamel Jouini, 2017. "Linkages Between Equity and Global Food Markets: New Evidence from Including Structural Changes," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 67(3), pages 166-198, June.
  69. Baumöhl, Eduard & Lyócsa, Štefan, 2014. "Volatility and dynamic conditional correlations of worldwide emerging and frontier markets," Economic Modelling, Elsevier, vol. 38(C), pages 175-183.
  70. Chunxia, Yang & Xueshuai, Zhu & Luoluo, Jiang & Sen, Hu & He, Li, 2016. "Study on the contagion among American industries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 601-612.
  71. Mensi, Walid & Hammoudeh, Shawkat & Nguyen, Duc Khuong & Kang, Sang Hoon, 2016. "Global financial crisis and spillover effects among the U.S. and BRICS stock markets," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 257-276.
  72. Atif HUSSAIN* & Tahir SAEED*, 2016. "Cointegration of Stock Market Returns: A Case of Asian Countries," Pakistan Journal of Applied Economics, Applied Economics Research Centre, vol. 26(2), pages 153-181.
  73. Simona Moagăr-Poladian & Dorina Clichici & Cristian-Valeriu Stanciu, 2019. "The Comovement of Exchange Rates and Stock Markets in Central and Eastern Europe," Sustainability, MDPI, vol. 11(14), pages 1-22, July.
  74. Gagan Sharma & Parthajit Kayal & Piyush Pandey, 2019. "Information Linkages Among BRICS Countries: Empirical Evidence from Implied Volatility Indices," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(3), pages 263-289, December.
  75. Niţoi, Mihai & Pochea, Maria Miruna, 2019. "What drives European Union stock market co-movements?," Journal of International Money and Finance, Elsevier, vol. 97(C), pages 57-69.
  76. Máté Csiki & Gábor Dávid Kiss, 2018. "Capital Market Contagion in the Stock Markets of Visegrád Countries Based on the Heckman Selection Model," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 17(4), pages 23-52.
  77. Lucia Bellenzier & Jørgen Vitting Andersen & Giulia Rotundo, 2016. "Contagion in the World's Stock Exchanges Seen as a Set of Coupled Oscillators," Post-Print hal-01215620, HAL.
  78. Kliber, Agata & Płuciennik, Piotr, 2017. "Euro or not? Vulnerability of Czech and Slovak economies to regional and international turmoil," Economic Modelling, Elsevier, vol. 60(C), pages 313-323.
  79. Vortelinos, Dimitrios I., 2015. "The Greek equity market in European equity portfolios," Economic Modelling, Elsevier, vol. 49(C), pages 144-153.
  80. Domingo Rodríguez Benavides & César Gurrola Ríos & Francisco López Herrera, 2021. "Dependencia de los mercados de valores de Argentina, Brasil y México respecto del estadounidense: Covid19 y otras crisis financieras recientes," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(3), pages 1-18, Julio - S.
  81. Marco Tronzano, 2021. "Financial Crises, Macroeconomic Variables, and Long-Run Risk: An Econometric Analysis of Stock Returns Correlations (2000 to 2019)," JRFM, MDPI, vol. 14(3), pages 1-25, March.
  82. Fiala, Tomas & Havranek, Tomas, 2017. "The sources of contagion risk in a banking sector with foreign ownership," Economic Modelling, Elsevier, vol. 60(C), pages 108-121.
  83. Demiralay, Sercan & Gencer, Hatice Gaye & Bayraci, Selcuk, 2021. "How do Artificial Intelligence and Robotics Stocks co-move with traditional and alternative assets in the age of the 4th industrial revolution? Implications and Insights for the COVID-19 period," Technological Forecasting and Social Change, Elsevier, vol. 171(C).
  84. repec:hal:wpaper:hal-01215620 is not listed on IDEAS
  85. Lucia Bellenzier & Jørgen Vitting Andersen & Giulia Rotundo, 2016. "Contagion in the World's Stock Exchanges Seen as a Set of Coupled Oscillators," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01215620, HAL.
  86. Wojciech Grabowski, 2019. "Givers or Recipients? Co-Movements between Stock Markets of CEE-3 and Developed Countries," Sustainability, MDPI, vol. 11(22), pages 1-24, November.
  87. Mensi, Walid & Hammoudeh, Shawkat & Kang, Sang Hoon, 2017. "Dynamic linkages between developed and BRICS stock markets: Portfolio risk analysis," Finance Research Letters, Elsevier, vol. 21(C), pages 26-33.
  88. Lucia Bellenzier & Jørgen Vitting Andersen & Giulia Rotundo, 2015. "Contagion in the world's stock exchanges seen as a set of coupled oscillators," Post-Print halshs-01242303, HAL.
  89. Pham, Linh, 2019. "Do all clean energy stocks respond homogeneously to oil price?," Energy Economics, Elsevier, vol. 81(C), pages 355-379.
  90. Lim, Siok Jin & Masih, Mansur, 2017. "Exploring portfolio diversification opportunities in Islamic capital markets through bitcoin: evidence from MGARCH-DCC and Wavelet approaches," MPRA Paper 79752, University Library of Munich, Germany.
  91. Lucia Bellenzier & Jørgen Vitting Andersen & Giulia Rotundo, 2015. "Contagion in the world's stock exchanges seen as a set of coupled oscillators," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01242303, HAL.
  92. Katarzyna Kubiszewska & Marcin Potrykus, 2020. "Balkan Stock Exchanges – Consideration of the Length of the Estimation Window in Similar Markets," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 1047-1067.
  93. Pappas, Vasileios & Ingham, Hilary & Izzeldin, Marwan & Steele, Gerry, 2016. "Will the crisis “tear us apart”? Evidence from the EU," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 346-360.
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