The impact of financial interdependence on the czech, hungarian and polish interbank, stock and currency market
Contagions could be defined as a significant increase in market comovement after a shock to one country, and mostly explained by two theorems: strong cross border relationships between the economies or sudden shifts in market actor's expectations and confidence. The first hypothesis of cont...
Elmentve itt :
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| Dokumentumtípus: | Cikk |
| Megjelent: |
2011
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| Sorozat: | INTERNATIONAL JOURNAL OF MANAGEMENT CASES (IJMC)
13 No. 3 |
| doi: | 10.5848/apbj.2011.00091 |
| mtmt: | 1782361 |
| Online Access: | http://publicatio.bibl.u-szeged.hu/21887 |
| Tartalmi kivonat: | Contagions could be defined as a significant increase in market comovement after a shock to one country, and mostly explained by two theorems: strong cross border relationships between the economies or sudden shifts in market actor's expectations and confidence. The first hypothesis of contagion was accepted on stock market but mostly rejected on interbank and currency market. The second hypothesis, that stock market contagions have the same orientation as trade was rejected. The analysis in this paper employed Dynamic Conditional Correlation GARCH analysis on logarithmic returns to evaluate deviation of market prices from fundamental values under extreme conditions on the selected interbank, stock and currency markets. [ABSTRACT FROM AUTHOR] |
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| Terjedelem/Fizikai jellemzők: | 555-564 |
| ISSN: | 1741-6264 |