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@inproceedings{982007,
author = {Deev, Oleg and Kajurová, Veronika},
address = {Karviná},
booktitle = {Proceedings of the 13th International Conference on Finance and Banking},
editor = {Stavárek, D. and Vodová, P.},
keywords = {stock market integration; financial crisis; Johansen cointegration analysis},
howpublished = {tištěná verze "print"},
language = {eng},
location = {Karviná},
isbn = {978-80-7248-753-0},
pages = {45-56},
publisher = {Silesian University},
title = {The Relationship between the Stock Market of the Czech Republic and Stock Markets of its Major Trading Partners : the Impact of the Global Financial Crisis},
year = {2012}
}
TY - JOUR
ID - 982007
AU - Deev, Oleg - Kajurová, Veronika
PY - 2012
TI - The Relationship between the Stock Market of the Czech Republic and Stock Markets of its Major Trading Partners : the Impact of the Global Financial Crisis
PB - Silesian University
CY - Karviná
SN - 9788072487530
KW - stock market integration
KW - financial crisis
KW - Johansen cointegration analysis
N2 - This paper examines the relationship between the 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.
ER -
DEEV, Oleg a Veronika KAJUROVÁ. The Relationship between the Stock Market of the Czech Republic and Stock Markets of its Major Trading Partners : the Impact of the Global Financial Crisis. In Stavárek, D. and Vodová, P. \textit{Proceedings of the 13th International Conference on Finance and Banking}. Karviná: Silesian University, 2012, s.~45-56. ISBN~978-80-7248-753-0.
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