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Empirical Analysis of Persistence and Dependence Patterns Among the Capital Markets

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  • Miloslav Vošvrda

Abstract

This paper investigates dependence structures on selected world stock markets. Firstly, a non-parametric univariate measure of a persistence concerning capital markets efficiency is derived and computed. Secondly, we focus on computing of a non-parametric multivariate measure of the persistence indicating an ability of the price mechanisms to hold capital market efficiency under interaction of shocks.

Suggested Citation

  • Miloslav Vošvrda, 2006. "Empirical Analysis of Persistence and Dependence Patterns Among the Capital Markets," Prague Economic Papers, Prague University of Economics and Business, vol. 2006(3), pages 231-242.
    • Handle: RePEc:prg:jnlpep:v:2006:y:2006:i:3:id:286:p:231-242
    DOI: 10.18267/j.pep.286
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    References listed on IDEAS

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    1. Pesaran, M. H. & Pierse, R. G. & Lee, K. C., 1993. "Persistence, cointegration, and aggregation : A disaggregated analysis of output fluctuations in the U.S. economy," Journal of Econometrics, Elsevier, vol. 56(1-2), pages 57-88, March.
    2. van de Gucht, Linda M. & Dekimpe, Marnik G. & Kwok, Chuck C. Y., 1996. "Persistence in foreign exchange rates," Journal of International Money and Finance, Elsevier, vol. 15(2), pages 191-220, April.
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    Cited by:

    1. Michał Markun & Anna Mospan, 2015. "Stationarity and persistence of the term premia in the Polish money market," NBP Working Papers 227, Narodowy Bank Polski.

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    More about this item

    Keywords

    dependence structure; shock transmission; non-parametric univariate ? multivariate measures of the shock persistence;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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