Temat: european stock markets - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: Switching Volatility in Emerging Stock Markets and Financial Liberalization: Evidence from the new EU Member Countries
Autorzy:: Kouretas, Georgios
Syllignakis, Manolis
Powiązania:: https://bibliotekanauki.pl/articles/483237.pdf
Data publikacji:: 2012
Wydawca:: Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:: emerging European stock markets
stock return volatility
Markov switching
financial crises
Opis:: In this paper, we use weekly stock market data to examine whether the volatility of stock returns of ten emerging capital markets of the new EU member countries has changed since the opening of their capital markets. In particular we are interested in understanding whether there are high and low periods of stock returns volatility and what the degree of correlation across these markets is. We estimate a Markov-Switching ARCH (SWARCH) model proposed by Hamilton and Susmel (1994) and we allow for the possibility that two or three volatility regimes may exist for stock returns volatility. The main finding of the present study is that the high volatility of stock returns of all new EU emerging stock markets is associated mainly with the 1997-1998 Asian and Russian financial crises as well as over the 2007-2009 financial turmoil, while there is a transition to the low volatility regime as they approach the accession to the EU in 2004. It is also shown that the capital flows liberalization process has resulted in an increase in volatility of stock returns in most cases.
Źródło:: Central European Journal of Economic Modelling and Econometrics; 2012, 4, 2; 65-93
2080-0886
2080-119X
Pojawia się w:: Central European Journal of Economic Modelling and Econometrics
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 2.

Tytuł:: The Evolution of Financial Integration on Selected European Stock Markets: a Dynamic Principal Component Approach
Ewolucja procesu integracji wybranych europejskich rynków kapitałowych: zastosowanie dynamicznej analizy głównych składowych
Autorzy:: Majewska, Elżbieta
Olbryś, Joanna
Powiązania:: https://bibliotekanauki.pl/articles/633373.pdf
Data publikacji:: 2017
Wydawca:: Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
Tematy:: europejskie rynki kapitałowe
dynamiczna analiza głównych składowych
indeks integracji
Globalny Kryzys Finansowy
european stock markets
dynamic principal component analysis
index of integration
Global Financial Crisis
Opis:: Celem pracy było badanie zmian poziomu integracji wybranych europejskich rynków kapitałowych na przestrzeni ostatnich dwudziestu lat. Analizie poddano dwie grupy rynków: (1) trzy rynki rozwinięte Wielkiej Brytanii, Francji i Niemiec, oraz (2) trzy rynki rozwijające się Europy Środkowo‑Wschodniej w Polsce, Czechach i na Węgrzech. Ewolucja procesu integracji rynków została zbadana z wykorzystaniem dynamicznej analizy głównych składowych. Jako odporną miarę integracji zastosowano indeks integracji. Wyniki empiryczne potwierdziły, że poziom integracji wzrósł w sposób istotny po wejściu Polski, Czech i Węgier do Unii Europejskiej w 2004 r. Zaobserwowano wyraźny efekt odwróconego U na wykresie indeksu integracji w przypadku całej grupy badanych rynków. Ponadto stwierdzono, że średnia wartość indeksu integracji była istotnie wyższa w okresie Globalnego Kryzysu Finansowego w porównaniu z okresem przed kryzysem.
The goal of this paper is to recognize the dynamics of financial integration across the European stock markets over the last two decades. We investigate two groups of markets: (1) three developed European markets in the U.K., France, and Germany; and (2) three emerging Central and Eastern European markets in Poland, the Czech Republic, and Hungary (CEE–3). The evolution of the integration process is analyzed using a dynamic principal component approach. The index of integration serves as a robust measure of integration. The empirical results reveal that the dynamics of integration across the whole group of markets increased significantly following the CEEC–3’s accession to the European Union. An inverted U‑shape in the index of integration has been found in this case. Moreover, the average index of integration was significantly different during the Global Financial Crisis compared to the pre‑crisis period.
Źródło:: Comparative Economic Research. Central and Eastern Europe; 2017, 20, 4; 45-63
1508-2008
2082-6737
Pojawia się w:: Comparative Economic Research. Central and Eastern Europe
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 3.

Tytuł:: The Stock Market Situation and Economic Growth – An Attempt to Assess the Dependence
Autorzy:: Radke, Michał
Powiązania:: https://bibliotekanauki.pl/articles/2033966.pdf
Data publikacji:: 2021-12-09
Wydawca:: Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
Tematy:: capital markets
European stock exchanges
GDP
stock index
Opis:: The aim of the article: The main aim of the article is to analyze the relationship between the stock market situation and the real economy, measured by the strength of the correlation between the rate of return on the stock market and the rate of GDP growth in European capital markets. The next objective is to answer the question whether the stock market index changes are ahead of, and if so, by how much, GDP changes. The author’s hypothesis stipulates that the stock exchange situation precedes the change in economic activity and serves as its forecast. Methodology: The empirical research work was carried out on the basis of quarterly data value of the stock index and the GDP between 2010 and the first quarter of 2021 for 20 European countries. For indices and GDP, the quarterly dynamics of the rate of return and GDP were calculated. Data on the value of the stock exchange index was taken from the website www.stooq.pl, while data on GDP was taken from Eurostat. Subsequently, the analysis concerned the correlation relationships between the variables on the basis of the Pearson correlation coefficient. The correlation between the variables was calculated without delay, as well as with a delay of one, two or three quarters of the returns on stock indices. Results of the research: Changes in the value of the stock exchange index is in most cases positively correlated with the change in GDP and the correlation is pronounced, but it is low and moderate. The only market for which a significant correlation was observed, was the Polish market. At the same time, it can be stated that the rates of return on the stock exchange index precede a change in GDP by one or three quarters. No changes were observed for the analyzed countries for two quarters.
Źródło:: Finanse i Prawo Finansowe; 2021, 4, 32; 117-128
2391-6478
2353-5601
Pojawia się w:: Finanse i Prawo Finansowe
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 4.

Tytuł:: Does financial information transparency and objectivity matter for stock market development? A panel regression analysis for the selected European countries
Autorzy:: Lazarov, Darko
Lakovic, Tanja
Miteva-Kacarski, Emilija
Powiązania:: https://bibliotekanauki.pl/articles/582274.pdf
Data publikacji:: 2017
Wydawca:: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Tematy:: financial information
stock markets development
Generalized Method of Moments
European economies
Opis:: The paper investigates whether financial transparency and objectivity matter for stock market development. We test this hypothesis by using a sample of 38 selected European economies for the period 2006-2014 by applying dynamic panel regression analysis (Generalized Method of Moments). The strength of auditing and reporting standards (SARS) is used as the approximated variable for measuring the financial transparency and objectivity, while the stock market capitalization relative to GDP is a commonly used variable for stock market development. The estimated results indicate that financial information quality has a positive and significant impact on stock market development after controlling for the standard macroeconomic and financial specific stock market determinants, suggesting that financial reporting quality is one of the most important determinants of stock market development. The effects of financial reporting and auditing standards to stock market development are much more significant in the case of the non-EU countries.
Źródło:: Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu; 2017, 482; 121-129
1899-3192
Pojawia się w:: Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
Dostawca treści:: Biblioteka Nauki

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