- Tytuł:
- Comovements of stock markets in Visegrad countries in years 2004-2017
- Autorzy:
- Grabowski, Wojciech
- Powiązania:
- https://bibliotekanauki.pl/articles/580717.pdf
- Data publikacji:
- 2018
- Wydawca:
- Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
- Tematy:
-
stock returns
comovements
VEC-GARCH-BEKK model
contagion - Opis:
- 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.
- Źródło:
-
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu; 2018, 519; 88-98
1899-3192 - Pojawia się w:
- Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
- Dostawca treści:
- Biblioteka Nauki
Artykuł