INTERDEPENDENCE BETWEEN THE SLOVENIAN AND EUROPEAN STOCK MARKETS – A DCC-GARCH ANALYSISReportar como inadecuado




INTERDEPENDENCE BETWEEN THE SLOVENIAN AND EUROPEAN STOCK MARKETS – A DCC-GARCH ANALYSIS - Descarga este documento en PDF. Documentación en PDF para descargar gratis. Disponible también para leer online.

Economic research - Ekonomska istraživanja, Vol.25 No.2 June 2012. -

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.

stock markets; DCC-GARCH; Slovenia; return comovement; stock market volatility



Autor: SILVO DAJČMAN - MEJRA FESTIĆ -

Fuente: http://hrcak.srce.hr/



DESCARGAR PDF




Documentos relacionados