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Modelling the Relationship Between Developed Equity Markets and Emerging Equity Markets


Kostanjčar, Zvonko; Juretić, Željan; Jeren, Branko
Modelling the Relationship Between Developed Equity Markets and Emerging Equity Markets // IEEE Computational Intelligence for Financial Engineering and Economics 2014
London, Ujedinjeno Kraljevstvo, 2014. (predavanje, međunarodna recenzija, cjeloviti rad (in extenso), znanstveni)


Naslov
Modelling the Relationship Between Developed Equity Markets and Emerging Equity Markets

Autori
Kostanjčar, Zvonko ; Juretić, Željan ; Jeren, Branko

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni

Izvornik
IEEE Computational Intelligence for Financial Engineering and Economics 2014 / - , 2014

Skup
IEEE Computational Intelligence for Financial Engineering and Economics 2014

Mjesto i datum
London, Ujedinjeno Kraljevstvo, 27-28.03.2014

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
Cointegration; Granger causality; Stock market linkages; VECM

Sažetak
This study examines the dynamic linkages between the major equity markets of the world (USA, Japan and Britain) and the emerging markets of South-East Europe (Croatia, Slovenia and Hungary). In particular, we discuss possible differences between their interdependences during the period of the dot-com speculative bubble, as well as during the period of the existing financial crisis caused by deflation of the global “real-estate” bubble. For the purpose of this study, we perform three types of analysis. Firstly, we investigate the long-run relationships between indices by using the Johansen cointegration test. Secondly, we investigate both the short-term and long-term movements in equity markets, modelling them with a VECM. Thirdly, we test for causality between the series by using the Granger causality test. A conclusion is finally drawn that the South-East Europe equity markets have become more integrated with global markets and that they offer limited potential in diversifying the risks.

Izvorni jezik
Engleski

Znanstvena područja
Računarstvo



POVEZANOST RADA


Projekt / tema
I-308-00449-VIF2013-11

Ustanove
Fakultet elektrotehnike i računarstva, Zagreb

Citiraj ovu publikaciju

Kostanjčar, Zvonko; Juretić, Željan; Jeren, Branko
Modelling the Relationship Between Developed Equity Markets and Emerging Equity Markets // IEEE Computational Intelligence for Financial Engineering and Economics 2014
London, Ujedinjeno Kraljevstvo, 2014. (predavanje, međunarodna recenzija, cjeloviti rad (in extenso), znanstveni)
Kostanjčar, Z., Juretić, Ž. & Jeren, B. (2014) Modelling the Relationship Between Developed Equity Markets and Emerging Equity Markets. U: IEEE Computational Intelligence for Financial Engineering and Economics 2014.
@article{article, year = {2014}, keywords = {Cointegration, Granger causality, Stock market linkages, VECM}, title = {Modelling the Relationship Between Developed Equity Markets and Emerging Equity Markets}, keyword = {Cointegration, Granger causality, Stock market linkages, VECM}, publisherplace = {London, Ujedinjeno Kraljevstvo} }