Počet záznamů: 1
Contagion among Central and Eastern European stock markets during the financial crisis
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SYSNO ASEP 0396416 Druh ASEP J - Článek v odborném periodiku Zařazení RIV J - Článek v odborném periodiku Poddruh J Článek ve WOS Název Contagion among Central and Eastern European stock markets during the financial crisis Tvůrce(i) Baruník, Jozef (UTIA-B) RID, ORCID
Vácha, Lukáš (UTIA-B) RIDCelkový počet autorů 2 Zdroj.dok. Finance a úvěr-Czech Journal of Economics and Finance. - : Univerzita Karlova v Praze - ISSN 0015-1920
Roč. 63, č. 5 (2013), s. 443-453Poč.str. 17 s. Forma vydání Tištěná - P Jazyk dok. eng - angličtina Země vyd. CZ - Česká republika Klíč. slova wavelets ; financial crisis ; Central and Eastern European stock markets ; comovement ; contagion Vědní obor RIV AH - Ekonomie CEP GBP402/12/G097 GA ČR - Grantová agentura ČR Institucionální podpora UTIA-B - RVO:67985556 UT WOS 000326923700004 Anotace This paper contributes to the literature on international stock market comovements and contagion. The novelty of our approach lies in application of wavelet tools to high-frequency financial market data, which allows us to understand the relationship between stock markets in a time-frequency domain. While major part of economic time series analysis is done in time or frequency domain separately, wavelet analysis combines these two fundamental approaches. Wavelet techniques uncover interesting dynamics of correlations between the Central and Eastern European (CEE) stock markets and the German DAX at various investment horizons. The results indicate that connection of the CEE markets to the leading market of the region is significantly lower at higher frequencies in comparison to the lower frequencies. Contrary to previous literature, we document significantly lower contagion between the CEE markets and the German DAX after the large 2008 stock market crash. Pracoviště Ústav teorie informace a automatizace Kontakt Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Rok sběru 2014
Počet záznamů: 1