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Relationship between Czech and European developed stock markets: DCC MV GARCH analysis

Authors: Michael Princ;

Relationship between Czech and European developed stock markets: DCC MV GARCH analysis

Abstract

The study concentrates on an analysis of the Czech stock market performed by an application of DCC MV GARCH model of Engle (2002). Data sample including years from 1994 to 2009 is represented by daily returns of Prague Stock Exchange index and other 11 major stock indices. There is found an existence of increasing trend in conditional correlations among a whole European region. The trend reveals breakpoints splitting a data series into three phases of development. The analysis includes a composition of returns adjusted by exchange rates capturing a point of view of global investors. The Czech Koruna exchange rate effects in a conjunction with equity returns are identified as a possible risk aversion instrument. Granger causality concept is added in order to find a development of data flow directions in a perspective of the Czech market. Results show that unidirectional influence of foreign markets affecting Czech market occurs in data series.

Keywords

Welt, ARCH-Modell, dynamic modelling, conditional correlation, Multivariate Analyse, Marktintegration, Aktienindex, C32, ddc:330, F36, G14, G15, Tschechische Republik, stock market integration, multivariate analysis, E44, Aktienmarkt, stock market integration, multivariate analysis, dynamic modelling, conditional correlation, Schätzung, jel: jel:E44, jel: jel:C32, jel: jel:F36, jel: jel:G14, jel: jel:G15

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
Average
Average
Average
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