The Relationship between the Czech Republic's Stock Market and Stock Markets of its Major Trading Partners: the Impact of the Global Financial Crisis
| Authors | |
|---|---|
| Year of publication | 2011 |
| Type | Article in Proceedings |
| Conference | Lessons Learned from the Financial Crisis. Proceedings of 13th International Conference on Finance and Banking |
| MU Faculty or unit | |
| Citation | |
| Web | http://www.opf.slu.cz/kfi/icfb/proc2011/pdf/10_Deev.pdf |
| Field | Economy |
| Keywords | stock market integration; financial crisis; Johansen cointegration analysis |
| Description | This paper examines the relationship between Czech Republic’s stock market and stock markets of its major trading partners. Johansen multivariate cointegration technique is used for the analysis of short- and long-run linkages between those markets. The purpose of the paper is twofold. First, it aims to test whether the degree of integration on the equity markets is comparable to the degree of economic integration. Furthermore, this paper is goaled to distinguish the change in interdependence relationships between Czech stock market and stock markets of its trading partners after the world financial crisis. Vector Error Correction Model is built to determine the initial receptor of internal shocks, while Granger causality tests are performed to form the short-run connections. The findings on notable change in stock markets’ cointegration have implications for both policy makers and global investors. |