Detailed Information on Publication Record
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 KAJUROVÁBasic 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.