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Regime-Dependent Relationships among Stock Markets in Frankfurt, Vienna and Warsaw

Author

Listed:
  • Henryk Gurgul

    (AGH University of Science and Technology, Poland)

  • Artur Machno

    (AGH University of Science and Technology, Poland)

Abstract

This paper analyzes short-run relationships between German, Austrian and Polish stock market indices using the Markov Switching VAR (MSVAR) model. The impulse response function is used as the main tool and reveals two market phases. The results are useful for investors; reactions to disturbances are complex and depend on the market phase and the considered pair of variables. There is also a theoretical analysis of the MSVAR model. The theoretical unconditional characteristics of the process driven by the MSVAR model are presented along with calculation techniques which can be applied to other models.

Suggested Citation

  • Henryk Gurgul & Artur Machno, 2015. "Regime-Dependent Relationships among Stock Markets in Frankfurt, Vienna and Warsaw," Managing Global Transitions, University of Primorska, Faculty of Management Koper, vol. 13(1 (Spring), pages 3-25.
    • Handle: RePEc:mgt:youmgt:v:13:y:2015:i:1:p:3-25
    as

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    File URL: http://www.fm-kp.si/zalozba/ISSN/1581-6311/13_003-025.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Markov switching VAR; regime-dependent impulse response; stock markets; dynamic relationship;
    All these keywords.

    JEL classification:

    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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