STOCK MARKET INTEGRATION OF CZECH STOCK MARKET: ROCKY ROAD
STOCK MARKET INTEGRATION OF CZECH STOCK MARKET: ROCKY ROAD

Author(s): Tomáš Výrost, Štefan Lyócsa, Eduard Baumöhl
Subject(s): Methodology and research technology, Financial Markets
Published by: Masarykova univerzita nakladatelství
Keywords: stock market integration; dynamic conditional correlations; DCC MV-GARCH model; structural breaks;
Summary/Abstract: Applying the DCC MV-GARCH model we estimate dynamic conditional correlations between Czech PX and Hungarian BUX, Polish WIG, German DAX and American S&P500. Then we verify the presence of structural breaks using Fluctuation test, supF, aveF and expF test. The dating procedure was carried out using the Bai – Perron (1998, 2003) methodology. Results show that during the recent financial crisis, breaks in trend of DCCs are amplified,thus providing an evidence of strengthening stock market integration.

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