Publication detail

Short-Term Shocks and Long-Term Relationships of Interdependencies among Central European Capital Markets

PIETRZAK, M. FAŁDZIŃSKI, M. BALCERZAK, A. MELUZÍN, T. ZINECKER, M.

Original Title

Short-Term Shocks and Long-Term Relationships of Interdependencies among Central European Capital Markets

Type

journal article in Web of Science

Language

English

Original Abstract

The article focuses on the problem of interdependences among Central European capital markets. The main aim of this research is to identify long-term interdependences among Austrian, Czech, Hungarian and Polish capital markets and the market of Germany. Additionally, the impact of short-term shocks on these markets is under evaluation. In the first step of the research the interdependencies among the capital markets in the years 1997-2015 were verified. For this purpose the DCC-GARCH model with the conditional t-distribution was used. In the second step, an analysis of cointegration for the interdependencies among the markets was carried out. The authors proposed to include conditional variances of the analysed markets as additional explanatory variables in the cointegration analysis. As the conditional variance most often reflects the impact of short-term shocks, the proposed approach allowed to take into account short-term market shocks in the cointegration analysis. The results enabled to identify long-term path for the course of the interdependences among markets of Germany, Austria, Czech Republic, Hungary and Poland. The mentioned Central European capital markets make a group of markets characterized with similar long-term path, which are focused around the dominant market of Germany.

Keywords

cointegration analysis; DCC-GARCH model; conditional variance; conditional correlation; short-term shocks

Authors

PIETRZAK, M.; FAŁDZIŃSKI, M.; BALCERZAK, A.; MELUZÍN, T.; ZINECKER, M.

Released

7. 4. 2017

Publisher

Center Sociological Research

Location

Szcecin

ISBN

2071-789X

Periodical

Economics and Sociology

Year of study

10

Number

1

State

Republic of Poland

Pages from

61

Pages to

77

Pages count

16

URL

http://www.economics-sociology.eu/?470,en_short-term-shocks-and-long-term-relationships-of-interdependencies-among-central-european-capital-markets

Full text in the Digital Library

http://hdl.handle.net/11012/70183

BibTex

@article{BUT135855,
  author="Michał Bernard {Pietrzak} and Marcin {Fałdziński} and Adam Przemyslaw {Balcerzak} and Tomáš {Meluzín} and Marek {Zinecker}",
  title="Short-Term Shocks and Long-Term Relationships of Interdependencies among Central European Capital Markets",
  journal="Economics and Sociology",
  year="2017",
  volume="10",
  number="1",
  pages="61--77",
  doi="10.14254/2071-789X.2017/10-1/5",
  issn="2071-789X",
  url="http://www.economics-sociology.eu/?470,en_short-term-shocks-and-long-term-relationships-of-interdependencies-among-central-european-capital-markets"
}