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, 27.03.2014. - 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