2011
The Relationship between the Czech Republic's Stock Market and Stock Markets of its Major Trading Partners: the Impact of the Global Financial Crisis
DEEV, Oleg a Veronika KAJUROVÁZákladní údaje
Originální název
The Relationship between the Czech Republic's Stock Market and Stock Markets of its Major Trading Partners: the Impact of the Global Financial Crisis
Autoři
DEEV, Oleg (643 Rusko, garant, domácí) a Veronika KAJUROVÁ (203 Česká republika, domácí)
Vydání
Ostrava, Czech Republic, Lessons Learned from the Financial Crisis. Proceedings of 13th International Conference on Finance and Banking, od s. 109-120, 11 s. 2011
Nakladatel
Silesian University, School of Business Administration
Další údaje
Jazyk
angličtina
Typ výsledku
Stať ve sborníku
Obor
50200 5.2 Economics and Business
Stát vydavatele
Česká republika
Utajení
není předmětem státního či obchodního tajemství
Odkazy
Kód RIV
RIV/00216224:14560/11:00054297
Organizační jednotka
Ekonomicko-správní fakulta
ISBN
978-80-7248-708-0
Klíčová slova anglicky
stock market integration; financial crisis; Johansen cointegration analysis
Změněno: 19. 5. 2012 10:50, Oleg Deev, Ph.D.
Anotace
V originále
This paper examines the relationship between Czech Republic’s stock market and stock markets of its major trading partners. Johansen multivariate cointegration technique is used for the analysis of short- and long-run linkages between those markets. The purpose of the paper is twofold. First, it aims to test whether the degree of integration on the equity markets is comparable to the degree of economic integration. Furthermore, this paper is goaled to distinguish the change in interdependence relationships between Czech stock market and stock markets of its trading partners after the world financial crisis. Vector Error Correction Model is built to determine the initial receptor of internal shocks, while Granger causality tests are performed to form the short-run connections. The findings on notable change in stock markets’ cointegration have implications for both policy makers and global investors.