An Analysis of Dependence between German and V4 Countries Stock Market

@inproceedings{52122,
   author = {Krkošková, Radmila},
   address = {Praha},
   booktitle = {Proceedings of the 39th International Conference on MME2021},
   editor = {Robert Hlavatý},
   keywords = {ADF test; Granger causality; stock market; V4},
   howpublished = {elektronická verze "online"},
   language = {eng},
   location = {Praha},
   isbn = {978-80-213-3126-6},
   pages = {281-286},
   publisher = {Faculty of Economics and Management Czech University of Life Sciences Prague},
   title = {An Analysis of Dependence between German and V4 Countries Stock Market},
   url = {https://mme2021.v2.czu.cz/en/r-16791-news-mme-2021/proceedings-of-the-39-th-international-conference-on-mme-202.html},
   year = {2021}
}

TY  - JOUR
ID  - 52122
AU  - Krkošková, Radmila
PY  - 2021
TI  - An Analysis of Dependence between German and V4 Countries Stock Market
PB  - Faculty of Economics and Management Czech University of Life Sciences Prague
CY  - Praha
SN  - 9788021331266
KW  - ADF test
KW  - Granger causality
KW  - stock market
KW  - V4
UR  - https://mme2021.v2.czu.cz/en/r-16791-news-mme-2021/proceedings-of-the-39-th-international-conference-on-mme-202.html
N2  - The topic of relations between individual markets has been frequently dis- cussed recently. Especially on the stock markets, we can watch a tendency of the more developed markets to affect developments on the less developed markets. This is also valid for the V4 stock markets, where it is the potential to anticipate a strong influence of the German stock market. There has been used the Granger causality. Quarterly data for the period from 2005/Q1 to 2020/Q4 was used for the analysis. This period has been selected because all of the V4 countries have been members of the European Union since 2004. The EViews software version 11 was used for the calculations. Variables used in this research are the stock exchange indices of the countries. The PX, SAX, BUX, WIG 20, and DAX stock indices are considered to be the crucial representatives of individual stock markets in this work. The results show that the German DAX stock index was Granger-causing the development of the Czech (PX), Hungarian (BUX), and Polish (WIG 20) stock indices.
ER  - 

KRKOŠKOVÁ, Radmila. An Analysis of Dependence between German and V4 Countries Stock Market. Online. In Robert Hlavatý. \textit{Proceedings of the 39th International Conference on MME2021}. Praha: Faculty of Economics and Management Czech University of Life Sciences Prague, 2021, s.~281-286. ISBN~978-80-213-3126-6.