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Cointegration and conditional correlations among German and Eastern Europe equity markets

conference contribution
posted on 06.12.2017, 00:00 by F Guidi, Rakesh GuptaRakesh Gupta
This paper aims to examine the long term relationship between German and three Central and Eastern Europe (CEE) equity markets. Application of Johansen as well as Engle-Granger cointegration tests show that there is no long-term relationship among these markets while the Gregory-Hansen cointegration test rejects the null hypothesis of no cointegration with structural break. An additional objective is to capture the time-varying correlation among these markets through the dynamic conditional correlation models. Empirical results suggest that correlations increased after the accession of the CEE countries into the European Union.

History

Start Page

1

End Page

21

Number of Pages

21

Start Date

01/01/2009

Location

Canberra, ACT

Publisher

ANU College of Business and Economics

Place of Publication

Canberra

Peer Reviewed

Yes

Open Access

No

Era Eligible

Yes

Name of Conference

Econometric Society. Australasian Meeting