Politická ekonomie 2010, 58(4):488-503 | DOI: 10.18267/j.polek.743

Integrácia akciových trhov: DCC MV-GARCH model

Eduard Baumöhl, Mária Farkašovská, Tomáš Výrost
Ekonomická univerzita v Bratislave, Podnikovohospodárska fakulta v Košiciach.

Stock Market Integration: DCC MV-GARCH Model

In this paper we analyze the dynamic conditional correlations between CEE stock markets (also known as countries from Vysehrad Group - V4) and developed European stock markets, with German DAX utilized as a benchmark. Our methodology is based on the DCC MV-GARCH approach. It is shown that the dynamic conditional correlations exhibit statistically significant growth after the integration of CEE countries to European Union, i.e. after the May 2004. The only index not exhibiting this trend is the Slovak SAX index.

Keywords: stock market integration, dynamic conditional correlations, CEE markets, DCC MV-GARCH model
JEL classification: C32, G01, G15

Published: August 1, 2010  Show citation

ACS AIP APA ASA Harvard Chicago IEEE ISO690 MLA NLM Turabian Vancouver
Baumöhl, E., Farkašovská, M., & Výrost, T. (2010). Stock Market Integration: DCC MV-GARCH Model. Politická ekonomie, 58(4), 488-503. doi: 10.18267/j.polek.743
Download citation
  • BibTeX (.bib)
  • Bookends (.ris)
  • EasyBib (.ris)
  • EndNote (.enw)
  • EndNote 8 (.xml)
  • ISI WoS (.isi)
  • Medlars (.medlars)
  • Mendeley (.ris)
  • MODS (.xml)
  • Papers (.ris)
  • RefWorks (.txt)
  • RefManager (.ris)
  • RIS (.ris)
  • MS Word (.xml)
  • Zotero (.ris)
    • Open full article

    References

    1. ARSHANAPALLI, B.; DOUKAS, J. 1993. International Stock Market Linkages: Evidence from the Preand Post-October 1987 period. Journal of Banking & Finance. 1993, Vol. 17, No. 1, p. 193-208. Go to original source...
    2. ASPREM, M. 1989. Stock Prices, Asset Portfolios and Macroeconomic Variables in Ten European Countries. Journal of Banking & Finance. 1989, Vol. 13, No. 1, p. 589-612. Go to original source...
    3. BAUMÖHL, E.; VÝROST, T. 2009. Integrácia akciových trhov V4 a vyspelých európskych trhov. Príspevok prezentovaný na konferencii FOR FIN 2009, Bratislava, 2009.
    4. BAUMÖHL, E. 2008. Skúmanie jednosmerných závislostí medzi svetovými akciovými indexmi. Príspevok prezentovaný na konferencii Národná a regionálna ekonomika VII, Herľany, 2008.
    5. BAUMÖHL, E. 2009. Integrácia akciových trhov: vyspelé trhy a trhy krajín V4 [dizertačná práca]. Košice : Ekonomická univerzita v Bratislave. Podnikovohospodárska fakulta so sídlom v Košiciach. Katedra ekonómie, 2009. 183 s.
    6. BLACKMAN, S. C.; HOLDEN, K.; THOMAS, W. A. 1994. Long-Term Relationships Between International Share Prices. Applied Financial Economics. 1994, Vol. 4, No. 4, p. 297-304. Go to original source...
    7. COLLINS, D.; BIEKPE, N. 2003. Contagion: A Fear for African Equity Markets? Journal of Economics and Business. 2003, Vol. 55, No. 3, p. 285-297. Go to original source...
    8. ÉGERT, B.; KOČENDA, E. 2007. Time-Varying Comovements in Developed and Emerging European Stock Markets: Evidence from Intraday Data [online]. William Davidson Institute Working Paper Number 861. 2007 [cit. 13.2.2008]. Dostupné na: http://www.wdi.umich.edu/files/Publications/ Working Papers/wp861.pdf.
    9. ENGLE, R. 2009. Anticipating Correlations. A New Paradigm for Risk Management. New Jersey : Princeton University Press, 2009. ISBN 978-0-691-11641-9.
    10. ENGLE, R. F.; SHEPPARD, K. 2001. Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH [online]. NBER Working Paper 8554. [cit. 9. 3. 2009]. Dostupné na: http://www.nber.org/papers/ w8554. Go to original source...
    11. EUN, CH. P.; SHIM, P. 1989. International Transmission of Stock Market Movements. Journal of Financial & Quantitative Analysis. 1989, Vol. 24, No. 2, p. 241-256. Go to original source...
    12. FORBES, K. J.; RIGOBON, R. 2002. No Contagion, Only Interdependence: Measuring Stock Market Comovements. Journal of Finance. 2002, Vol. 57, No. 5, p. 2223-2262. Go to original source...
    13. FRATZSCHER, M. 2001. Financial market integration in Europe: On the effects of EMU on stock markets. International Journal of Finance & Economics. 2001, Vol. 7, No. 3, p. 165-194. Go to original source...
    14. GJERDE, O.; SAETTEM, F. 1995. Linkages Among European and World Stock Markets. The European Journal of Finance. 1995, Vol. 1, No. 2, p. 165-179. Go to original source...
    15. GRINOLD, R.; RUDD, A.; STEFEK, D. 1989. Global Factors: Facts and Fiction. Journal of Portfolio Management. 1989, Vol. 16, No. 16, p. 79-88. Go to original source...
    16. GRUBEL, H. G. 1968. Internationally Diversified Portfolios: Welfare Gains and Capital Flows. American Economic Review. 1968, Vol. 58, No. 5, p. 1299-1314.
    17. HÁJEK, J. 2007. Test slabé formy efektivnosti středoevropských akciových trhů. Politická ekonomie. 2007, Vol. 55, No. 6, pp. 773-791. Go to original source...
    18. HAMAO, Y. - MASULIS, R. W. - NG, V. 1990. Correlations in Price Changes and Across International Stock Markets. Review of Financial Studies. 1990, Vol. 3, No. 2, p. 281-307. Go to original source...
    19. HILLIARD, J. E. 1979. The Relationship Between Equity Indices on World Exchange. Journal of Finance. 1979, Vol. 34, No. 1, pp. 103-114. Go to original source...
    20. JAFFE, J.; WESTERFIELD, R. 1985. The Weekend Effect in Common Stock Returns: the International Evidence. Journal of Finance. 1985, Vol. 40, No. 2, pp. 433-454. Go to original source...
    21. JEON, B.; FURSENBERG, G. 1990. Growing International Co-Movements in Stock Price Indexes. Quarterly Review of Economics and Business. 1990, Vol. 30, No. 3, pp. 15-30.
    22. KING, M. A.; WADHANI, S. 1990. Transmission of Volatitliy between Stock Markets. Review of Financial Studies. 1990, Vol. 3, No. 1, pp. 5-33. Go to original source...
    23. KOČENDA, E.; ČERNÝ, A. 2007. Elements of Time Series Econometrics: An Applied Approach. Praha : Karolinum Press, 2007. ISBN 978-80-246-1370-3
    24. LE, S. V. 1991. International Investment Diversification Before and After the October 19, 1987 Stock Market Crisis. Journal of Business Research. 1991, Vol. 22, No. 4, pp. 305-310. Go to original source...
    25. LEE, S. B.; KIM, K. J. 1993. Does the October 1987 Crash Strengthen the Co-movements Among National Stock Markets? Review of Financial Economics. 1993, Vol. 3, No. 1/2, pp. 89-102. Go to original source...
    26. LESSARD, D. R. 1974. World, National, and Industry Factors in Equity Return. Journal of Finance. 1974, Vol. 29, No. 2, pp. 379-391. Go to original source...
    27. LESSARD, D. R. 1976. World, Country, and Industry Relationships in Equity Return. Implications for Risk Reduction Through International Diversification. Financial Analysts Journal. 1976, Vol. 32, No. 1, pp. 32-38. Go to original source...
    28. LEVY-YEYATI, E. SCHMUKLER, S. L.; VAN HOREN, N. 2006. International Financial Integration through the Law of One Price [online]. World Bank Policy Research Working Paper No. 3897 [cit. 11. 4. 2009]. Dostupné na: http://ssrn.com/abstract=902249. Go to original source...
    29. LONGIN, F.; SOLNIK, B. 1995. Is There Correlation in International Equity Returns? Journal of International Money and Finance. 1995, Vol. 14, pp. 3-26. Go to original source...
    30. MALDONADO, R.; SAUNDERS, A. 1981. International Portfolio Diversification and the Inter-Temporal Stability of International Stock Market Relationships, 1957-78. Financial Management. 1981, Vol. 10, No. 4, pp. 54-63. Go to original source...
    31. MALKAMÄKI, M. J.; MARTIKAINEN, T.; PERTTUNEN, J.; PUTTONEN, V. 1993. On the Causality and Co-Movements of Scandinavian Stock Market Returns. Scandinavian Journal of Management. 1993, Vol. 9, No. 1, pp. 67-76. Go to original source...
    32. MALKAMÄKI, M. J.; MARTIKAINEN, T.; PERTTUNEN, J. 1991. On the Riskiness of the World's Stock Markets. European Journal of Operational Research. 1991, Vol. 53, No. 3, pp. 288-296. Go to original source...
    33. MARTENS, M.; POON, S. H. 2001. Returns Synchronization and Daily Correlation Dynamics Between International Stock Markets. Journal of Banking & Finance. 2001, Vol. 25, No. 10, pp. 1805-1827. Go to original source...
    34. MERIC, I.; MERIC, G. 1989. Potential Gains from International Diversification and Intertemporal Stability and Seasonality in International Stock Market Relationships. Journal of Banking & Finance. 1989, Vol. 13, No. 4-5, pp. 627-640. Go to original source...
    35. PANTON, D. B.; LESSIG, V. P.; JOY, O. M. 1976. Comovement of International Equity Markets: A Taxonomic Approach. Journal of Financial & Quantitative Analysis. 1976, Vol. 11, No. 3, pp. 415-432. Go to original source...
    36. PHILIPPATOS, G. C.; CHRISTOFI, A.; CHRISTOFI, P. 1983. The Inter-Temporal Stability of International Stock Market Relationships: Another View. Financial Management, 1983, vol 12, No. 4, pp. 63-69. Go to original source...
    37. PODPIERA, R. 2001. Interakce mezi trhy a duálňe kotované akcie: případ České republiky. Finance a úvěr - Czech Journal of Economics and Finance. 2001, Vol. 51, No. 3, pp. 166-181.
    38. RIPLEY, D. M. 1973. Systematic Elements in the Linkage of National Stock Market Indices. Review of Economics & Statistics. 1973, Vol. 55, No. 3, pp. 356-361. Go to original source...
    39. SCHÖLLHAMMER, H.; SAND, O. 1985. The Interdependece Among the Stock Markets of Major European Countries and the United States: An Empirical Investigation of Interrelationships Among National Stock Price Movements. Management International Review. 1985, Vol. 25, No. 1, pp. 17-26.
    40. SOLNIK, B. 1974. Why Not Diversify Internationally Rather Than Domestically? Financial Analysts Journal. 1974, Vol. 30, pp. 48-54. Go to original source...
    41. SYRIOPOULOS, T. 2004. International Portfolio Diversification to Central European Stock Markets. Applied Financial Economics. 2004, Vol. 14, No. 17, pp. 1253-1268. Go to original source...
    42. VORONKOVA, S. 2004. Equity Market Integration in Central European Emerging Markets: A Cointegration Analysis with Shifting Regimes. International Review of Financial Analysis. 2004, Vol. 13, No. 5, pp. 633-647. Go to original source...
    43. WANG, P.; MOORE, T. 2008. Stock Market Integration for the Transition Economies: Time-Varying Conditional Correlation Approach. The Manchester School. 2008, Vol. 76, No. 1, pp. 116-133. Go to original source...
    44. WATSON, J. 1980. The Stationarity of Inter-Country Correlation Coefficients. Journal of Business Finance and Accounting. 1980, Vol. 7, No. 2, pp. 297 Go to original source...

    This is an open access article distributed under the terms of the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License (CC BY NC ND 4.0), which permits non-comercial use, distribution, and reproduction in any medium, provided the original publication is properly cited. No use, distribution or reproduction is permitted which does not comply with these terms.


    Return to the content