STOCK MARKET INTEGRATION: DCC MV-GARCH MODEL

被引：0

作者：

Baumoehl, Eduard ^{[1
]}

Farkasovska, Maria ^{[1
]}

Vyrost, Tomas ^{[1
]}

机构：

[1] Univ Econ Bratislava, Fac Business Econ Kosice, SK-04001 Kosice, Slovakia

来源：

POLITICKA EKONOMIE | 2010年 / 58卷 / 04期

关键词：

stock market integration; dynamic conditional correlations; CEE markets; DCC MV-GARCH model; INTER-TEMPORAL STABILITY; INTERNATIONAL PORTFOLIO DIVERSIFICATION; EUROPEAN-COUNTRIES; EQUITY RETURNS; INTERDEPENDENCE; TRANSMISSION; VOLATILITY; MOVEMENTS; INDEXES; OCTOBER;

D O I：

10.18267/j.polek.743

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper we analyze the dynamic conditional correlations between GEE stock markets (also known as countries from Vysehrad Group - V4) and developed European stock markets, with German DAX utilized as a benchmark. Our methodology is based on the DCC MV-GARCH approach. It is shown that the dynamic conditional correlations exhibit statistically significant growth after the integration of GEE countries to European Union, i.e. after the May 2004. The only index not exhibiting this trend is the Slovak SAX index.

引用

页码：488 / 503

页数：16

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