Commonalities in Returns in the Stock Markets of the Visegrad Group: A Quantile Coherency Approach
- 31 December 2020
- journal article
- Published by Masaryk University Press in Financial Assets and Investing
- Vol. 11 (2), 38-53
- https://doi.org/10.5817/fai2020-2-3
Abstract
The aim of this paper is to investigate the dependence structure in the frequency domain for the joint distribution of returns from the stock markets in the countries belonging to the V4 countries. We analyze twenty-years of historical daily prices of four main stock indices from the Czech Republic, Hungary, Poland, and Slovakia. Using a quantile coherency measure we found, that linkages between Czech, Hungarian, and Polish stock markets are significantly positive for all considered quantiles and frequencies. These three markets are more strongly dependent during the long downturns and the effect is permanent after the European Union accession. The Slovak stock market is the least connected with other countries in the group. Results of the paper revealed, that Czech, Hungarian and Polish stock market is subject to similar trends in terms of returns for different investment horizons. International market participants should incorporate interdependencies between these markets during the portfolio building process.Keywords
This publication has 14 references indexed in Scilit:
- New empirical evidence on CEE's stock markets integrationThe World Economy, 2020
- An analysis of CEE equity market integration and their volatility spillover effectsEuropean Journal of Management and Business Economics, 2019
- The Comovement of Exchange Rates and Stock Markets in Central and Eastern EuropeSustainability, 2019
- Quantile coherency: A general measure for dependence between cyclical economic variablesThe Econometrics Journal, 2019
- Stock market contagion in Central and Eastern Europe: unexpected volatility and extreme co-exceedanceThe European Journal of Finance, 2017
- Univariate and Bivariate Volatility in Central European Stock MarketsPrague Economic Papers, 2017
- An analysis of dependence between Central and Eastern European stock marketsEconomics Systems, 2015
- Stock market comovements in Central Europe: Evidence from the asymmetric DCC modelEconomic Modelling, 2013
- Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European marketsInternational Review of Economics & Finance, 2011
- Extreme Correlation of International Equity MarketsThe Journal of Finance, 2001