Interdependence between the Slovenian and European Stock Markets – A DCC-Garch Analysis
Bibliographic Data
| ID | 15067203 |
|---|---|
| Authors | Silvo Dajcman (0000-0002-9801-0922, University of Maribor), Mejra Festić (Bank of Slovenia) |
| Year | 2012 |
| Volume | 25 |
| Issue | 2 |
| Pages | 379-395 |
| Publication date | 2012-01-01 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Economic Research-Ekonomska Istraživanja (JOURNAL) |
| Journal identifiers | ISSN: 1331-677X • E-ISSN: 1848-9664 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/1331677x.2012.11517513 |
| OpenAlex | W177671424 |
| Language | EN |
| Citations received | 3 |
| References cited | 4 |
This paper examines the comovement and spillover dynamics between the Slovenian and some European (the UK, German, French, Austrian, Hungarian and the Czech) stock market returns. A dynamic conditional correlation GARCH (DCC-GARCH) analysis is applied to returns series of representative national stock indices for the period from April 1997 to May 2010 to answer the following questions: i) Is correlation (comovement) between the Slovenian and European stock markets time-varying; ii) Are there return and volatility spillovers between European and Slovenian stock markets; iii) What effect did financial crises in the period from April 1997 to May 2010 have on the comovement between the investigated stock markets? Results of the DCC-GARCH analysis show that comovement between Slovenian and European stock markets is time-varying and that there were significant return spillovers between the stock markets. Financial crises in the observed period increased comovement between Slovenian and European stock markets
Autoregressive conditional heteroskedasticity · Business · Econometrics · Economics · Financial economics · Geography · Financial Risk and Volatility Modeling · Market Dynamics and Volatility · Monetary Policy and Economic Impact
| Citations per year | 0.43 |
|---|---|
| Citation span | 2019 - 2020 (2) |
| Highly cited | No |