Naslov
Using ARIMA and GARCH to assess the impact of the American stock markets on the German stock market

Autori
Sajter, Domagoj

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

Izvornik
Strategic Management during and after the Financial Crisis / Bacher, Urban, Kurz, Rudi, et al. - Pforzheim : Pforzheim University and Faculty of Economics in Osijek, 2009, 55-65

ISBN
978-953-253-089-6

Skup
"Strategic Management during and after the Financial Crisis" - 30th Scientific Symposium

Mjesto i datum
Pforzheim, Njemačka, 05.11.2009. - 06.11.2009

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
ARIMA; GARCH; NYSE; Nasdaq; Deutsche boerse; S&P500; DAX; Dow Jones

Sažetak
There is no doubt that the American stock markets are by far the most influential in the World. This was especially present during the beginning of the financial crisis, when spillover effects (as presented in the field of behavioural economy) where clearly visible. This paper aims to measure the scope of the influence of the New York Stock Exchange and Nasdaq on Frankfurt Stock Exchange. As such it is an extension to the analysis of Sajter and Ćorić (2008) who examined the impact of American stock markets on Croatian stock market during the beginning of the crisis. Autoregressive Integrated Moving Average (ARIMA) models are generalizations of the simple autoregressive model that use several tools for modelling the serial correlation in the disturbance. The basic version of the Ordinary Least Squares (OLS) model applies the assumption of homoskedasticity. Unlike OLS models Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models embrace heteroskedasticity as informative ; they treat it as fundamental to the underlying process and a phenomenon that one would want to include and to model, not to correct. ARIMA and GARCH models were applied in order to analyze the impact of the S&P500 index on DAX index, using different time-spans of the data (10- year observation period: 1999 - 2009) to monitor the inflow of the late 2000s financial crisis from the USA to Germany, and the overall impact of the transatlantic markets.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

Napomena
Jubilarni, trideseti znanstveni simpozij, održan 5. i 6. studenog 2009. u Pforzheimu, Njemačka.

POVEZANOST RADA