Short-term Shocks and Long-term Relationships of Interdependencies Among Central European Capital Markets
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...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
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Centre of Sociological Research, Szczecin, Poland
2017-06-01
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| Series: | Economics & Sociology |
| Subjects: | |
| Online Access: | http://www.economics-sociology.eu/?470,en_short-term-shocks-and-long-term-relationships-of-interdependencies-among-central-european-capital-markets |
| _version_ | 1818324855642128384 |
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| author | Michał Bernard Pietrzak Marcin Fałdziński Adam P. Balcerzak Tomáš Meluzín Marek Zinecker |
| author_facet | Michał Bernard Pietrzak Marcin Fałdziński Adam P. Balcerzak Tomáš Meluzín Marek Zinecker |
| author_sort | Michał Bernard Pietrzak |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-13T11:35:13Z |
| format | Article |
| id | doaj.art-4f8ee63936be4e93bcd39a657ab2d96d |
| institution | Directory Open Access Journal |
| issn | 2071-789X 2306-3459 |
| language | English |
| last_indexed | 2024-12-13T11:35:13Z |
| publishDate | 2017-06-01 |
| publisher | Centre of Sociological Research, Szczecin, Poland |
| record_format | Article |
| series | Economics & Sociology |
| spelling | doaj.art-4f8ee63936be4e93bcd39a657ab2d96d2022-12-21T23:47:48ZengCentre of Sociological Research, Szczecin, PolandEconomics & Sociology2071-789X2306-34592017-06-0110110.14254/2071-789X.2017/10-1/5Short-term Shocks and Long-term Relationships of Interdependencies Among Central European Capital MarketsMichał Bernard Pietrzak0Marcin Fałdziński1Adam P. Balcerzak2Tomáš Meluzín3Marek Zinecker4Nicolaus Copernicus UniversityNicolaus Copernicus UniversityNicolaus Copernicus UniversityBrno University of TechnologyBrno University of TechnologyThe 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.http://www.economics-sociology.eu/?470,en_short-term-shocks-and-long-term-relationships-of-interdependencies-among-central-european-capital-marketscointegration analysisDCC-GARCH modelconditional varianceconditional correlationshort-term shocks |
| spellingShingle | Michał Bernard Pietrzak Marcin Fałdziński Adam P. Balcerzak Tomáš Meluzín Marek Zinecker Short-term Shocks and Long-term Relationships of Interdependencies Among Central European Capital Markets Economics & Sociology cointegration analysis DCC-GARCH model conditional variance conditional correlation short-term shocks |
| title | Short-term Shocks and Long-term Relationships of Interdependencies Among Central European Capital Markets |
| title_full | Short-term Shocks and Long-term Relationships of Interdependencies Among Central European Capital Markets |
| title_fullStr | Short-term Shocks and Long-term Relationships of Interdependencies Among Central European Capital Markets |
| title_full_unstemmed | Short-term Shocks and Long-term Relationships of Interdependencies Among Central European Capital Markets |
| title_short | Short-term Shocks and Long-term Relationships of Interdependencies Among Central European Capital Markets |
| title_sort | short term shocks and long term relationships of interdependencies among central european capital markets |
| topic | cointegration analysis DCC-GARCH model conditional variance conditional correlation short-term shocks |
| url | http://www.economics-sociology.eu/?470,en_short-term-shocks-and-long-term-relationships-of-interdependencies-among-central-european-capital-markets |
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