Influence of German Stock Market on Stock Markets of V4 Countries
Bibliographic Data
| ID | 10714009 |
|---|---|
| Authors | Peter Árendáš (0000-0003-1413-2795, Bratislava University of Economics and Business), Božena Chovancová (0000-0003-1253-6446, Bratislava University of Economics and Business), Ľuboš Pavelka (Bratislava University of Economics and Business) |
| Year | 2020 |
| Volume | 68 |
| Issue | 5 |
| Pages | 554-568 |
| Publication date | 2020-10-27 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Politická ekonomie (JOURNAL) |
| Journal identifiers | ISSN: 0032-3233 • E-ISSN: 2336-8225 |
| Publisher | Prague University of Economics and Business (PUBLISHER • CZ) |
| DOI | 10.18267/j.polek.1288 |
| OpenAlex | W3094834527 |
| Language | EN |
| References cited | 35 |
Due to progressing globalisation and deepening integration of global financial markets, the topic of relations between individual markets has got into the centre of attention of many economists. Especially on the stock markets, we can observe a tendency of the more developed markets to affect developments on the less developed markets. This is also valid for stock markets of the Central and Eastern European (CEE) countries, the V4 countries included. In the case of returns and volatilities of the V4 stock markets, it is possible to expect a strong influence of the German stock market. We follow this influence using the Granger causality. Our analysis shows that in the period 1999-2018, the German DAX stock index was Granger-causing the development of the Czech (PX), Hungarian (BUX) and Polish (WIG 20) stock indices, while this relation was not confirmed for DAX and the Slovak stock index SAX. However, the analysis of two sub-periods (1999-2007 and 2010-2018) shows slightly different results
Czech · Econometrics · Economics · Financial economics · Financial market · Geography · German · Globalization · Granger causality · International economics · Market depth · Market economy · Monetary economics · Slovak · Stock (firearms) · Stock exchange · Stock market · Stock market bubble · Stock market index · Finance · Financial Risk and Volatility Modeling
Statistical inference in vector autoregressions with possibly integrated processes
Investigating Causal Relations by Econometric Models and Cross-spectral Methods
Testing causal relation among central and eastern European equity markets
Short-term Shocks and Long-term Relationships of Interdependencies Among Central European Capital Markets
German Economic "Locomotive" and the Czech Economy
Export Dependency of Slovakia on German ́s Economy
| Citation velocity | historical |
|---|---|
| Highly cited | No |