Object structure
Title:

Comovements of stock markets in Visegrad countries in years 2004-2017

Group publication title:

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu

Title in english:

Powiązania pomiędzy rynkami finansowymi w krajach Grupy Wyszehradzkiej w latach 2004-2017

Creator:

Grabowski, Wojciech

Subject and Keywords:

stock returns ; comovements ; VEC-GARCH-BEKK model ; contagion ; stopy zwrotu ; transmisja szoków ; efekt zarażania

Description:

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu = Research Papers of Wrocław University of Economics, 2018, Nr 519, s. 88-98

Abstrakt:

In this paper comovements of stock markets in the Visegrad countries in years 2004-2017 are analysed. Parameters of the VEC-GARCH-BEKK model are estimated. Results of the empirical study indicate that stock returns in Poland, the Czech Republic and Hungary were sensitive to stock returns of DAX. Moreover, investors analysed performance of stock markets in the whole group of Visegrad countries, when deciding to buy or sell stocks from one market (in Warsaw, Prague or Budapest). Results of the analysis of the shocks’ transmission mechanism and the volatility transmission mechanism indicate that especially shocks coming from the German stock market strongly affected volatilities of the rates of return in the Visegrad countries

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2018

Resource Type:

artykuł

Format:

application/pdf

Resource Identifier:

doi:10.15611/pn.2018.519.07

Language:

eng

Relation:

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu = Research Papers of Wrocław University of Economics; 2018; Nr 519 ; Wrocław Conference in Finance: Contemporary Trends and Challenges

Access Rights:

Dla wszystkich zgodnie z licencją

License:

CC BY-NC-ND 3.0 PL

Location:

Uniwersytet Ekonomiczny we Wrocławiu

×

Citation

Citation style: