Analiza porównawcza stopnia integracji węgierskiego i słowackiego giełdowego rynku akcji z giełdowym rynkiem akcji w obszarze euro

• Authors: Bukowski, Sławomir I

Title variants

PL

The comparative analysis of Hungarian and Slovak equity market integration degree with euro area equity market

Abstracts

EN

The aim of this paper is to outline results of investigations into the degree of the Hungarian and Slovak equity market integration with the euro area stock market. In our investigations we used monthly data from the 1999:01–2011:12 period concerning the yield performance of the following indices: BUX, SAX, DJ EUROSTOXX, DOW JONES COMPOSITE AVERAGE. The model of the “growing impact of the common information component on stock market growth rates” estimated by means of GARCH(1,1) was used as a measure of the equity market integration. In the period from 1999 to 2004, the Hungarian equity market was more integrated with the euro area equity market than with the global equity market. But in the period 2005–2011 degree of Hungarian equity market integration with the global equity market was much higher then degree of integration with the euro area equity market. On the other hand, the Slovak equity market was more integrated with the global market in the 1999–2004 period whereas in the years 2005–2011 its higher integration degree with the euro area stock market was noted accompanied by a low integration degree with the global market.

• Publisher: Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
• Journal: Acta Universitatis Lodziensis. Folia Oeconomica
• Year: 2012
• Volume: 273

Dates

published

2012

Contributors

author

Bukowski, Sławomir I

other

Uniwersytet Technologiczno-Humanistyczny im. Kazimierza Pułaskiego w Radomiu; Wydział Ekonomiczny; Katedra Biznesu i Finansów Międzynarodowych

Identifiers

URI

http://hdl.handle.net/11089/2059