D 2012

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

DEEV, Oleg and Veronika KAJUROVÁ

Basic information

Original name

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

Authors

DEEV, Oleg (643 Russian Federation, guarantor, belonging to the institution) and Veronika KAJUROVÁ (203 Czech Republic, belonging to the institution)

Edition

Karviná, Proceedings of the 13th International Conference on Finance and Banking, p. 45-56, 12 pp. 2012

Publisher

Silesian University

Other information

Language

English

Type of outcome

Stať ve sborníku

Field of Study

50200 5.2 Economics and Business

Country of publisher

Czech Republic

Confidentiality degree

není předmětem státního či obchodního tajemství

Publication form

printed version "print"

RIV identification code

RIV/00216224:14560/12:00059924

Organization unit

Faculty of Economics and Administration

ISBN

978-80-7248-753-0

UT WoS

000309369700005

Keywords in English

stock market integration; financial crisis; Johansen cointegration analysis

Tags

International impact, Reviewed
Změněno: 25/1/2013 15:32, Oleg Deev, Ph.D.

Abstract

V originále

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.