Arbeitspapier

News and correlations of CEEC-3 financial markets

We investigate conditional correlations between six CEEC-3 financial markets estimated by DCC-MGARCH models. In general, the highest correlations exist between Hungary and Poland in foreign exchange and stock markets. Short-term money markets are rather isolated from each other. We find that the associations of CEEC-3 exchange rates versus the euro are weaker than those versus the US dollar. The persistence of the effect of shocks on the timevarying correlations is strongest for foreign exchange and stock markets, indicating a tendency toward contagion. In searching for the origins of financial market volatility in the CEEC-3, we uncover some evidence of Granger-causality on the foreign exchange markets. Finally, using a pool model, we investigate the impact of euro area, US, and CEEC-3 news on the correlations. Apart from ECB monetary policy news, we observe no broad effects of international news on correlations; instead, local news exerts an influence, which suggests adominance of country- or market-specific circumstances.

Sprache
Englisch

Erschienen in
Series: MAGKS Joint Discussion Paper Series in Economics ; No. 2009,44

Klassifikation
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
International Financial Markets
International Finance: General
Thema
Financial markets
Czech Republic
Hungary
Poland
political news
macroeconomic shocks
contagion
DCC-MGARCH

Ereignis
Geistige Schöpfung
(wer)
Büttner, David
Hayo, Bernd
Ereignis
Veröffentlichung
(wer)
Philipps-University Marburg, Faculty of Business Administration and Economics
(wo)
Marburg
(wann)
2009

Handle
Letzte Aktualisierung
10.03.2025, 11:42 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Büttner, David
  • Hayo, Bernd
  • Philipps-University Marburg, Faculty of Business Administration and Economics

Entstanden

  • 2009

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