Modelling the Relationship Between Developed Equity Markets and Emerging Equity Markets (CROSBI ID 612694)
Prilog sa skupa u zborniku | izvorni znanstveni rad | međunarodna recenzija
Podaci o odgovornosti
Kostanjčar, Zvonko ; Juretić, Željan ; Jeren, Branko
engleski
Modelling the Relationship Between Developed Equity Markets and Emerging Equity Markets
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.
Cointegration; Granger causality; Stock market linkages; VECM
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Podaci o prilogu
2014.
objavljeno
Podaci o matičnoj publikaciji
IEEE Computational Intelligence for Financial Engineering and Economics 2014
Podaci o skupu
IEEE Computational Intelligence for Financial Engineering and Economics 2014
predavanje
27.03.2014-28.03.2014
London, Ujedinjeno Kraljevstvo