Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/156176 
Erscheinungsjahr: 
2013
Quellenangabe: 
[Journal:] Ekonomicky casopis/Journal of Economics [ISSN:] 0013-3035 [Volume:] 61 [Issue:] 1 [Publisher:] Institute of Economic Research of Slovak Academy of Sciences and Institute for Forecasting of CSPS of Slovak Academy of Sciences [Place:] Bratislava [Year:] 2013 [Pages:] 67-81
Verlag: 
Institute of Economic Research of Slovak Academy of Sciences and Institute for Forecasting of CSPS of Slovak Academy of Sciences, Bratislava
Zusammenfassung: 
In this article, we study the possible explanatory power of macroeconomic factors that may drive the stock market integration between the Czech Republic, Poland and Hungary (CEE-3) and developed countries, using Germany as a benchmark. Our findings suggest that the recent global financial crisis has affected time-varying correlations between certain stock markets more substantially than the entry of the CEE-3 into the EU. The results of our analysis of the effects of these macroeconomic factors were inconclusive. Only our proxy of exchange rate risk was significant in all cases, with positive effects on integration, thus supporting the presence of contagion among different markets.
Schlagwörter: 
stock market integration
CEE-3
time-varying correlations
DCC MV-GARCH model
macroeconomic factors
JEL: 
G01
G15
C32
Dokumentart: 
Article
Dokumentversion: 
Published Version
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