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Interdependence among Capital Markets of Germany, Poland and Baltic States

Author

Listed:
  • Tomas Meluzin

    (Brno University of Technology, Czech Republic)

  • Marek Zinecker

    (Brno University of Technology, Czech Republic)

  • Michal Bernard Pietrzak

    (Nicolaus Copernicus University, Poland)

  • Marcin Faldzinski

    (Nicolaus Copernicus University, Poland)

  • Adam P. Balcerzak

    (Nicolaus Copernicus University, Poland)

Abstract

The growing interdependencies among capital markets are becoming significant factor affecting process of risk management both at macro and microeconomic level. Thus, the aim of the article is the analysis of interdependencies among capital markets of Germany, Poland and Baltic States. In order to measure the interdependencies DCC-GARCH model was applied. The research was conducted for the years 2004-2015. The capital market of Germany was taken as the one that has the biggest influence on the analysed Central and Eastern European markets. The conducted research enabled to determine the different nature of the interdependencies among the capital markets of Baltic States and Poland on one side and German capital market on the other side.

Suggested Citation

  • Tomas Meluzin & Marek Zinecker & Michal Bernard Pietrzak & Marcin Faldzinski & Adam P. Balcerzak, 2016. "Interdependence among Capital Markets of Germany, Poland and Baltic States," Working Papers 36/2016, Institute of Economic Research, revised Sep 2016.
    • Handle: RePEc:pes:wpaper:2016:no36
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    File URL: http://www.badania-gospodarcze.pl/images/Working_Papers/2016_No_36.pdf
    File Function: First version, 2016
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    More about this item

    Keywords

    capital market; conditional variance; conditional correlation; DCC-GARCH model; integration;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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