Economics & Sociology

ISSN: 2071-789X eISSN: 2306-3459 DOI: 10.14254/2071-789X
Index PUBMS: f5512f57-a601-11e7-8f0e-080027f4daa0
Article information
Title: Short-term Shocks and Long-term Relationships of Interdependencies Among Central European Capital Markets
Issue: Vol. 10, No 1, 2017
Published date: 03-2017 (print) / 03-2017 (online)
Journal: Economics & Sociology
ISSN: 2071-789X, eISSN: 2306-3459
Authors: Michał Bernard Pietrzak
Nicolaus Copernicus University

Marcin Fałdziński
Nicolaus Copernicus University

Adam P. Balcerzak
Nicolaus Copernicus University

Tomáš Meluzín
Brno University of Technology

Marek Zinecker
Brno University of Technology
Keywords: cointegration analysis, DCC-GARCH model, conditional variance, conditional correlation, short-term shocks
DOI: 10.14254/2071-789X.2017/10-1/5
Index PUBMS: 910f024e-003e-11e8-94c4-fa163e5d4f72
Language: English
Pages: 61-77 (17)
JEL classification: G15, C58

The article focuses on the problem of interdependences among Central European capital markets. The main aim of this research is to identify long-term interdependences among Austrian, Czech, Hungarian and Polish capital markets and the market of Germany. Additionally, the impact of short-term shocks on these markets is under evaluation. In the first step of the research the interdependencies among the capital markets in the years 1997-2015 were verified. For this purpose the DCC-GARCH model with the conditional t-distribution was used. In the second step, an analysis of cointegration for the interdependencies among the markets was carried out. The authors proposed to include conditional variances of the analysed markets as additional explanatory variables in the cointegration analysis. As the conditional variance most often reflects the impact of short-term shocks, the proposed approach allowed to take into account short-term market shocks in the cointegration analysis. The results enabled to identify long-term path for the course of the interdependences among markets of Germany, Austria, Czech Republic, Hungary and Poland. The mentioned Central European capital markets make a group of markets characterized with similar long-term path, which are focused around the dominant market of Germany.


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