Prague Economic Papers 2007, 16(4):291-302 | DOI: 10.18267/j.pep.309

Dynamic Analysis of Selected European Stock Markets

Jiří Trešl, Dagmar Blatná
University of Economics, Faculty of Informatics and Statistics, Prague (tresl@vse.cz, blatna@vse.cz).

The behaviour of selected European stock indices in the period 2001-2005 was analysed. UKX (GB), DAX (Germany), CAC (France) and MIBTEL (Italy) represented well established West European markets, whereas PX-50 (Czech Republic), SKSM (Slovak Republic), BUX (Hungary) and WIG (Poland) were the examples of Central European emerging ones. The subject of this analysis were logarithmic daily returns computed from closing values of corresponding indices. Cross correlation function reached typical values 0.7 (West Europe) and 0.4 (Central Europe) excepting the Slovak Republic. The patterns of both common and solitary movements were revealed with the use of principal component and cluster analysis. To establish some dynamical relations in return time-series, vector autoregression models and Granger causality tests were employed. As for West Europe, the causal chain UKX_MIBTEL_DAX_CAC was revealed. On the other hand, the form of this chain for Central Europe was PX-50_BUX_WIG. Finally, the behaviour of both BUX and WIG returns was strongly determined by all West European counterparts.

Klíčová slova: return modelling, stock indices, inancial time series, Granger causality
JEL classification: C32, G15

Zveřejněno: 1. leden 2007  Zobrazit citaci

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Trešl, J., & Blatná, D. (2007). Dynamic Analysis of Selected European Stock Markets. Prague Economic Papers, 16(4), 291-302. doi: 10.18267/j.pep.309
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