Work detail

CEE stock market comovements: An asymmetric DCC analysis

Author: Mgr. Dritan Gjika
Year: 2013 - winter
Leaders: prof. Roman Horváth Ph.D., ČSOB Corporate Chair
Consultants:
Work type: Masters
MEF
Language: English
Pages: 60
Awards and prizes: M.A. with distinction from the Dean of the Faculty of Social Sciences for an excellent state-final examination performance.
Link:
Abstract: We investigate the interdependence among three CEE stock markets and between
CEEs vis–à–vis euro area, using daily data from 2001–2011. Initially,
we estimate bivariate ADCC models. Then, OLS regressions are employed to
understand the evolution of correlations in time and during the recent financial
crises. Finally, we examine the relationship between correlations and volatilities
using the simple OLS model and the rolling stepwise regression methodology.
Our results indicate that 3 out of 4 series exhibit asymmetries in conditional
variances, while only 1 pair out of 6 exhibit asymmetries in correlations. We
found that correlations are increased over time and during the recent financial
crises for both pairs (CEEs–CEEs and CEEs–eurozone). However, the highest
increase is observed for CEEs–eurozone. Mainly, we found a positive relationship
between correlations and volatilities, even though this relationship is
niether constant in time nor strictly positive or negative during all the sample
period, but rather time–varying with periods of being higher or lower than zero.
Downloadable: DT Gjika

Partners

ČSOB
Deloitte
McKinsey & Company

Sponsors

CRIF
EY