Relationship between Czech and European developed stock markets: DCC MV GARCH analysis

Arbeitspapier

The study concentrates on an analysis of the Czech stock market performed by an application of DCC MV GARCH model of Engle (2002). Data sample including years from 1994 to 2009 is represented by daily returns of Prague Stock Exchange index and other 11 major stock indices. There is found an existence of increasing trend in conditional correlations among a whole European region. The trend reveals breakpoints splitting a data series into three phases of development. The analysis includes a composition of returns adjusted by exchange rates capturing a point of view of global investors. The Czech Koruna exchange rate effects in a conjunction with equity returns are identified as a possible risk aversion instrument. Granger causality concept is added in order to find a development of data flow directions in a perspective of the Czech market. Results show that unidirectional influence of foreign markets affecting Czech market occurs in data series.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: IES Working Paper ; No. 9/2010

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Financial Markets and the Macroeconomy ; Information and Market Efficiency; Event Studies; Insider Trading ; International Financial Markets ; Financial Aspects of Economic Integration
• Subject: stock market integration ; multivariate analysis ; dynamic modelling ; conditional correlation ; Aktienmarkt ; Aktienindex ; Marktintegration ; ARCH-Modell ; Multivariate Analyse ; Schätzung ; Tschechische Republik ; Welt

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Princ, Michael
• Event: Veröffentlichung
• (who): Charles University in Prague, Institute of Economic Studies (IES)
• (where): Prague
• (when): 2010

Further information

• Handle: http://hdl.handle.net/10419/83435
• Last update: 10.03.2025, 11:43 AM CET