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首页> 外文会议>IEEE Conference on Computational Intelligence for Financial Engineering Economics >Modelling the relationship between developed equity markets and emerging equity markets
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Modelling the relationship between developed equity markets and emerging equity markets

机译：建模发达的股票市场和新兴的股票市场之间的关系

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摘要

This study examines the dynamic linkages between the major equity markets of the world (USA, Japan and Britain) and the emerging markets of South-East Europe (Croatia, Slovenia and Hungary). In particular, we discuss possible differences between their interdependences during the period of the dot-com speculative bubble, as well as during the period of the existing financial crisis caused by deflation of the global “real-estate” bubble. For the purpose of this study, we perform three types of analysis. Firstly, we investigate the long-run relationships between indices by using the Johansen cointegration test. Secondly, we investigate both the short-term and long-term movements in equity markets, modelling them with a VECM. Thirdly, we test for causality between the series by using the Granger causality test. A conclusion is finally drawn that the South-East Europe equity markets have become more integrated with global markets and that they offer limited potential in diversifying the risks.
机译：这项研究考察了世界主要证券市场（美国，日本和英国）与东南欧新兴市场（克罗地亚，斯洛文尼亚和匈牙利）之间的动态联系。特别是，我们讨论了在网络泡沫时期，以及在全球“房地产”泡沫通缩导致的现有金融危机期间，它们之间的相互依存关系可能存在差异。为了本研究的目的，我们执行三种类型的分析。首先，我们使用Johansen协整检验研究指标之间的长期关系。其次，我们研究股票市场的短期和长期走势，并用VECM对其进行建模。第三，我们使用格兰杰因果关系检验来检验系列之间的因果关系。最后得出的结论是，东南欧股票市场已与全球市场更加融合，它们在分散风险方面潜力有限。

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