Stock Market Comovements in Central Europe: Evidence from Asymmetric DCC Model
dc.contributor.author | Gjika, Dritan | |
dc.contributor.author | Horvath, Roman | |
dc.date.accessioned | 2016-08-30T19:50:05Z | |
dc.date.available | 2016-08-30T19:50:05Z | |
dc.date.issued | 2012-08-01 | |
dc.identifier.other | RePEc:wdi:papers:2012-1035 | |
dc.identifier.uri | https://hdl.handle.net/2027.42/133052 | |
dc.description.abstract | We examine time-varying stock market comovements in Central Europe employing the asymmetric dynamic conditional correlation multivariate GARCH model. Using daily data from 2001 to 2011, we find that the correlations among stock markets in Central Europe and between Central Europe vis–à–vis the euro area are strong. They increased over time, especially after the EU entry and remained largely at these levels during financial crisis. The stock markets exhibit asymmetry in the conditional variances and in the conditional correlations, to a certain extent, too, pointing to an importance of applying sufficiently flexible econometric framework. The conditional variances and correlations are positively related suggesting that the diversification benefits decrease disproportionally during volatile periods. | |
dc.relation.ispartofseries | wp1035 | |
dc.subject | stock market comovements | |
dc.subject | Central Europe | |
dc.subject | financial crisis | |
dc.subject.other | G01 | |
dc.subject.other | G15 | |
dc.title | Stock Market Comovements in Central Europe: Evidence from Asymmetric DCC Model | |
dc.type | Working Paper | |
dc.subject.hlbsecondlevel | Economics | |
dc.subject.hlbtoplevel | Business | |
dc.contributor.affiliationum | William Davidson Institute | |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/133052/1/wp1035.pdf | |
dc.contributor.authoremail | roman.horvath@gmail.com | |
dc.owningcollname | William Davidson Institute (WDI) - Working Papers |
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