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INTERDEPENDENCE BETWEEN THE SLOVENIAN AND EUROPEAN STOCK MARKETS – A DCC-GARCH ANALYSIS

SILVO DAJČMAN
MEJRA FESTIĆ


Puni tekst: engleski pdf 1.006 Kb

str. 379-396

preuzimanja: 2.086

citiraj


Sažetak

This paper examines the comovement and
spillover dynamics between the Slovenian
and some European (the UK, German,
French, Austrian, Hungarian and the
Czech) stock market returns. A dynamic conditional
correlation GARCH (DCC-GARCH) analysis is
applied to returns series of representative national
stock indices for the period from April 1997 to May
2010 to answer the following questions: i) Is correlation
(comovement) between the Slovenian and European
stock markets time-varying; ii) Are there return and
volatility spillovers between European and Slovenian
stock markets; iii) What effect did financial crises in
the period from April 1997 to May 2010 have on the
comovement between the investigated stock markets?
Results of the DCC-GARCH analysis show that
comovement between Slovenian and European stock
markets is time-varying and that there were significant
return spillovers between the stock markets. Financial
crises in the observed period increased comovement
between Slovenian and European stock markets.

Ključne riječi

stock markets; DCC-GARCH; Slovenia; return comovement; stock market volatility

Hrčak ID:

86642

URI

https://hrcak.srce.hr/86642

Datum izdavanja:

15.6.2012.

Podaci na drugim jezicima: hrvatski

Posjeta: 2.736 *