Conditional Correlation on CEE Stock Markets

Clicks: 193
ID: 70081
2018
An investigation into the stock market convergence of Czech Republic, Hungary, Slovakia and Romania reveals that capital market correlation level has strongly increased after the EU accession. The present study evaluates stock market co-movements in Czech Republic, Hungary, Slovakia and Romania on the basis of multivariate generalized autoregressive conditional heteroscedasticity models. The diagonal BEKK model is also employed in analyzing the convergence of the selected countries’ stock markets with those existing in the developed countries; the analysis encompassed the 2002-2012 timeframe. The empirical results indicate that the correlation of the four CEE stock markets are strongly influenced by two factors: their accession to the EU and the 2007-2008 financial crisis.
Reference Key
istvan2018conditionalovidius Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors István, Kralik Lóránd;
Journal ovidius university annals: economic sciences series
Year 2018
DOI DOI not found
URL
http://stec.univ-ovidius.ro/html/anale/RO/wp-content/uploads/2019/02/9-1.pdf
Keywords
Biology (General) Information technology business economics as a science agriculture finance insurance business mathematics. commercial arithmetic. including tables, etc.

Citations

No citations found. To add a citation, contact the admin at info@scimatic.org

Comments

No comments yet. Be the first to comment on this article.