Number of the records: 1

Stock market integration and the speed of information transmission

SYSNO ASEP	0108587
Document Type	J - Journal Article
R&D Document Type	Journal Article
Subsidiary J	Ostatní články
Title	Stock market integration and the speed of information transmission
Title	Integrace akciového trhu a rychlost přenosu informací
Author(s)	Černý, Alexandr (NHU-N)
Source Title	CERGE-EI Working Paper Series - ISSN 1211-3298 -, č. 242 (2004), s. 1-25
Number of pages	25 s.
Language	eng - English
Country	CZ - Czech Republic
Keywords	stock market integration ; market comovement ; high-frequency data
Subject RIV	AH - Economics
R&D Projects	KSK8002119 GA AV ČR - Academy of Sciences of the Czech Republic (AV ČR)
	GA402/04/0270 GA ČR - Czech Science Foundation (CSF)
CEZ	AV0Z7085904 - NHU-N
Annotation	Using a unique dataset covering 8 months of high frequency data on the indices from markets in the U.S., London, Frankfurt, Paris, Warsaw, and Prague, I investigate the issue of stock market integration from a novel perspective. Cointegration and Granger causality tests with data of different frequencies (from 5 minutes to 1 day) are performed. The aim is to describe the time structure in which market react to the information revealed in prices on other markets. Particularly, I want to detect the speed of information transmission between the different markets.
Workplace	Economics Institute
Contact	Tomáš Pavela, pavela@cerge-ei.cz, Tel.: 224 005 122
Year of Publishing	2005

Number of the records: 1