- Tytuł:
- Spatial and economic distance influence on the European stock market connections changing in crisis 2007-2009
- Autorzy:
-
Suchecka, Jadwiga
Łaszkiewicz, Edyta - Powiązania:
- https://bibliotekanauki.pl/articles/657610.pdf
- Data publikacji:
- 2011
- Wydawca:
- Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
- Tematy:
-
DCC GARCH
Euclidean distance
crisis period
stock market - Opis:
- The influence of the spatial relation on the stock market is becoming more frequently the subject of a discussion. Efforts to pinpoint the relation between the dis- tance and the investors choices are relevant to both the intra- and intermarket connec- tions. With the latter one, spatial dependencies may function as a shock transmission channel, resulting with the contagion effect. The object of this paper is to present the results of the research on the influence of spatial and economic distance on the correlation of selected European stock markets during the 2007–2009 crisis period. In order to verify the hypothesis regarding the influ- ence of the spatial relations on the stock market correlation DCC GARCH model was used among with spatial analysis tools.
- Źródło:
-
Acta Universitatis Lodziensis. Folia Oeconomica; 2011, 252
0208-6018
2353-7663 - Pojawia się w:
- Acta Universitatis Lodziensis. Folia Oeconomica
- Dostawca treści:
- Biblioteka Nauki
Artykuł