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Stock market integration and the speed of information transmission
- 1.0310516 - NHÚ 2009 RIV CZ eng J - Journal Article
Černý, Alexandr - Koblas, M.
Stock market integration and the speed of information transmission.
[Integrace burz a rychlost přenosu informací.]
Finance a úvěr-Czech Journal of Economics and Finance. Roč. 58, 1-2 (2008), s. 2-20. ISSN 0015-1920. E-ISSN 0015-1920
R&D Projects: GA MŠMT LC542
Institutional research plan: CEZ:AV0Z70850503
Keywords : stock market integration * market comovement * intra-day data
Subject RIV: AH - Economics
Impact factor: 0.275, year: 2008
http://journal.fsv.cuni.cz/storage/1098_str_2_20_-_cerny-koblas.pdf
Using a unique dataset covering two years of high frequency data on the indices from markets in the U. S., London, Frankfurt, Paris, Warsaw, Prague, and Budapest, we perform cointegration and Granger causality tests with data of different frequencies (from 5 minutes to 1 day). The aim is to describe the time structure in which markets react to the information revealed in prices on other markets.
Za použití jedinečného setu vysokofrekvenčních dat dvou let obchodování s indexy na trzích v USA, Londýně, Frankfurtu, Paříži, Varšavě, Praze a Budapešti provádíme kointegraci a test Grangerovi kauzality pro různé frekvence (5 minut ař 1 den). Cílem je popsat časovou strukturu, jak trhy na sebe navzájem reagují.
Permanent Link: http://hdl.handle.net/11104/0162355
Number of the records: 1