Comovements of Stock Markets in Visegrad Countries in Years 2004-2017

• Autorzy: Wojciech Grabowski

Warianty tytułu

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

• Języki publikacji: EN

Abstrakty

EN

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.(original abstract)

W artykule analizowane są powiązania pomiędzy rynkami giełdowymi krajów Grupy Wyszehradzkiej w latach 2004-2007. Szacowane są parametry modelu VEC-GARCH-BEKK. Wyniki estymacji wskazują, że stopy zwrotu dla Polski, Czech i Węgier byly wrażliwe na stopy zwrotu DAX. Ponadto inwestorzy analizowali zmiany stóp zwrotu w całej Grupie Wyszehradzkiej i podejmowali decyzje inwestycyjne na jednej z giełd (warszawskiej, praskiej czy w Budapeszcie). Wyniki analizy mechanizmu transmisji szoków i zmienności wskazują, że kraje Grupy Wyszehradzkiej były szczególnie wrażliwe na szoki pochodzące z Niemiec.(abstrakt oryginalny)

Słowa kluczowe

EN

Rate of return; Stock markets; Estimation

PL

Stopa zwrotu; Rynki giełdowe; Estymacja

• Czasopismo: Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
• Rocznik: 2018
• Numer: nr 519 Wrocław Conference in Finance: Contemporary Trends and Challenges
• Strony: 88--98

Twórcy

autor

Wojciech Grabowski

• University of Lodz, Poland

Bibliografia

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Identyfikatory

DOI

10.15611/pn.2018.519.07