On the stock markets interdependency

Marcin Czupryna

Abstract


The paper verifies the hypothesis of the existence of relationships between Polish and German stock markets and the impact of the convergence process. The relationship between the stock exchanges was represented by co-integration indices DAX and WIG20 or WIG. No co-integration between DAX and WIG or WIG20 is observed unless additionally the correction of the trend of the WIG20 index is taken into account. However the co-integration between indices WIG20TR and the DAX is observed. Both indices constructed in a  similar way and representing largest companies of both stock markets. These results suggest the hypothesis of the existence of correlation between the two exchanges. A  significant change in the structure of co-integration in the period July 2009 – December 2012, compared with the previous period and 2006 to June 2009 is observed.

Keywords


stock markets; cointegration

Full Text:

PDF (Język Polski)

References


Baele L., Fernando A., Hordähl P., Krylova E., Measuring European Financial Integration, „ECB Occasional Paper, no. 14” 2004.

Będowska-Sójka B., Intraday CAC40, DAX20 and WIG20 returns when the American macro news is announced, „Bank i Kredyt” 2010, nr 2 (41).

Dickey D., Fuller W., Distribution of the Estimators for Autoregressive Time Series with a Unit Root, “Journal of American Statistical Association” 1979, 74.

Guide to Equity Indices of the Deutsche Borse, 6.17, Deutsche Borse AG 2012.

Econometrics Toolbox MATLAB, User’s Guide R2013a, aktualna wersja dostępna pod adresem http://www.mathworks.com/help/releases/R2013b/pdf_doc/econ/econ.pdf (01.10.2013).

Engle R., Granger C., Co-integration and Error Correction: Representation, Estimation and Testing, “Econometrica”, 55, 1987.

Hanousek J., Kocenda E., Foreign News and Spillovers In Emerging European Stock Markets, “Review of International Economics”, 19, 2011.

Hansen B., Tests for Parameter Instability In regressions with I(1) Processes, “Journal of Business and Economic Statistics” 10, 1992.

Hayashi F., Econometrics, Princeton University Press, Princeton New Jersey, 2000.

Heston S., Rouwenhorst K., Does industrial structure explain the benefits of the international diversification, “Journal of Financial Economics”, 46, 1994.

Horvath R., Petrovski D., International Stock Market Integration; Central and South Eastern Europe Compared, “IOS Working Papers”, 2012.

Liu L., Wan J., The relationships between Shanghai stock market and CNY/USD exchange rate: New evidence based on cross-correlation analysis, structural cointegration and nonlinear causality test, “Physica A”, 2012.

Mrzygłód U., Procesy integracyjne na rynkach kapitałowych Unii Europejskiej, „Materiały i Studia Narodowego Banku Polskiego” 2012, zeszyt 257.

Mrzygłód U., Nowak S., The Analysis of Selected European Stock Markets Cointegration, “Journal of Emerging and Transition Countries” 2009, nr 2.

Podstawowe algorytmy indeksów giełdowych, Giełda Papierów Wartościowych w Warszawie, Warszawa 2012.

Schwarz G., “Estimating a Dimension of a Model, The Annals of Statistics” 1978, vol. 6, no. 2.

Schwert G., Tests for Unit Roots: A Monte Carlo Investigation, “Journal of Business and Economic Statistics”, 7, 1989.

Syriopoulos T., Dynamic Linkages between Emerging European and Developed Stock Markets: Has EMU Any Impact?, “International Review of Financial Analysis”, 16, 2007.

Yusupova E., The Equity Market Integration of the Central and Eastern European Countries. Does the Timing of EMU Accession Matter?, “Kiel Institute for World Economics, Working Paper, no. 429, 2005.




DOI: http://dx.doi.org/10.17951/h.2013.47.3.109
Date of publication: 2015-07-23 22:18:12
Date of submission: 2015-07-20 13:28:05


Statistics


Total abstract view - 432
Downloads (from 2020-06-17) - PDF (Język Polski) - 0

Indicators



Refbacks

  • There are currently no refbacks.


Copyright (c) 2015 Marcin Czupryna

Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.