Spatio-temporal Analysis of Convergence of Development Level of Selected Stock Exchanges in the Period of 2004–2012
Journal Title: Dynamic Econometric Models - Year 2015, Vol 15, Issue
Abstract
The paper concerns the convergence of selected stock exchanges from the point of view of their development. It presents the methodological approach which points up taking into account spatial and economic connections among stock markets in convergence analyses. In this analysis the need for division of the stock exchanges according to a spatial regimes is pointed up as well. The research includes 42 largest trading floors analyzed in the period of 2004-2012. The empirical data refer to six diagnostic variables acknowledged as the important determinants of the development of stock markets.
Authors and Affiliations
Elżbieta Szulc, Dagna Wleklińska
Keywords
Related Articles
- EP ID EP196135
- DOI 10.12775/DEM.2015.001
- Views 88
- Downloads 0
Comparison of Certain Dynamic Estimation Methods of Value at Risk on Polish Gas Market
The paper compares the results of the estimation of VaR made using Markov chains as well as linear and non-linear autoregressive models. A comparative analysis was conducted for linear returns of the daily value of the g...
The Model of French Development Assistance – Who Gets the Help?
Development cooperation is an important element of international relations because it influences the power balance between major players on the world markets and in the political debate. The aim of the article was to ana...
Risk Modeling of Commodities using CAViaR Models, the Encompassing Method and the Combined Forecasts
The aim of the research is to compare VaR methods/models for commodities. For risk measurement Conditional Autoregressive Value at Risk models (CAViaR), implied quantile model and encompassing method are used. The aim is...
ARCH Effect in Classical Market-Timing Models with Lagged Market Variable: the Case of Polish Market
The main goal of this study is to present the regressions of the GARCH versions of classical market-timing models of Polish equity funds. We examine the models with lagged values of the market factor as an additional var...
The Haar Wavelet Transfer Function Model and Its Applications
In the paper the Haar wavelet transfer function models are suggested as a way to parsimoniously parametrise the impulse responses and construct models with parameters providing an insight into the frequency content of th...