Detailed Information on Publication Record
2021
An Analysis of Dependence between German and V4 Countries Stock Market
KRKOŠKOVÁ, RadmilaBasic information
Original name
An Analysis of Dependence between German and V4 Countries Stock Market
Authors
KRKOŠKOVÁ, Radmila (203 Czech Republic, guarantor, belonging to the institution)
Edition
Praha, Proceedings of the 39th International Conference on MME2021, p. 281-286, 6 pp. 2021
Publisher
Faculty of Economics and Management Czech University of Life Sciences Prague
Other information
Language
English
Type of outcome
Stať ve sborníku
Field of Study
50202 Applied Economics, Econometrics
Country of publisher
Czech Republic
Confidentiality degree
není předmětem státního či obchodního tajemství
Publication form
electronic version available online
References:
RIV identification code
RIV/47813059:19520/21:A0000216
Organization unit
School of Business Administration in Karvina
ISBN
978-80-213-3126-6
Keywords in English
ADF test; Granger causality; stock market; V4
Tags
International impact, Reviewed
Změněno: 13/9/2021 08:47, Mgr. Radmila Krkošková, Ph.D.
Abstract
V originále
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.