| bibtype |
J -
Journal Article
|
| ARLID |
0396416 |
| utime |
20240103203002.0 |
| mtime |
20140124235959.9 |
| WOS |
000326923700004 |
| title
(primary) (eng) |
Contagion among Central and Eastern European stock markets during the financial crisis |
| specification |
| page_count |
17 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0255446 |
| ISSN |
0015-1920 |
| title
|
Finance a úvěr-Czech Journal of Economics and Finance |
| volume_id |
63 |
| volume |
5 (2013) |
| page_num |
443-453 |
| publisher |
| name |
Univerzita Karlova v Praze |
|
|
| keyword |
wavelets |
| keyword |
financial crisis |
| keyword |
Central and Eastern European stock markets |
| keyword |
comovement |
| keyword |
contagion |
| author
(primary) |
| ARLID |
cav_un_auth*0242028 |
| name1 |
Baruník |
| name2 |
Jozef |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0101217 |
| name1 |
Vácha |
| name2 |
Lukáš |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
GBP402/12/G097 |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0281000 |
|
| abstract
(eng) |
This paper contributes to the literature on international stock market comovements and contagion. The novelty of our approach lies in application of wavelet tools to high-frequency financial market data, which allows us to understand the relationship between stock markets in a time-frequency domain. While major part of economic time series analysis is done in time or frequency domain separately, wavelet analysis combines these two fundamental approaches. Wavelet techniques uncover interesting dynamics of correlations between the Central and Eastern European (CEE) stock markets and the German DAX at various investment horizons. The results indicate that connection of the CEE markets to the leading market of the region is significantly lower at higher frequencies in comparison to the lower frequencies. Contrary to previous literature, we document significantly lower contagion between the CEE markets and the German DAX after the large 2008 stock market crash. |
| reportyear |
2014 |
| RIV |
AH |
| num_of_auth |
2 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0224323 |
| mrcbT16-e |
BUSINESSFINANCE |
| mrcbT16-f |
0.470 |
| mrcbT16-g |
0.000 |
| mrcbT16-i |
0.00030 |
| mrcbT16-j |
0.138 |
| mrcbT16-k |
91 |
| mrcbT16-l |
25 |
| mrcbT16-s |
0.261 |
| mrcbT16-4 |
Q3 |
| mrcbT16-B |
3.018 |
| mrcbT16-C |
12.637 |
| mrcbT16-D |
Q4 |
| mrcbT16-E |
Q3 |
| arlyear |
2013 |
| mrcbU34 |
000326923700004 WOS |
| mrcbU63 |
cav_un_epca*0255446 Finance a úvěr-Czech Journal of Economics and Finance 0015-1920 0015-1920 Roč. 63 č. 5 2013 443 453 Univerzita Karlova v Praze |
|