We analyse the determinants of stock market integration among EU member states for the period 1999–2007. First, we apply bivariate DCC-MGARCH models to extract dynamic conditional correlations between European stock markets, which are then explained by interest rate spreads, exchange rate...

We analyse the determinants of stock market integration among EU member states for the period 1999–2007. First, we apply bivariate DCC-MGARCH models to extract dynamic conditional correlations between European stock markets, which are then explained by interest rate spreads, exchange rate...

The study concentrates on an analysis of the Czech stock market performed by an application of DCC MV GARCH model of Engle (2002). Data sample including years from 1994 to 2009 is represented by daily returns of Prague Stock Exchange index and other 11 major stock indices. There is found an...

In this paper, we examine the financial integration process amongst 17 EMU countries from January 2002 to June 2013 over a normal period as well as for the Global Financial Crisis (GFC) and Eurozone Debt Crisis (EDC) periods. We classify the economies in three groups (A, B and C) based on their...

The study concentrates on an analysis of the Czech stock market performed by an application of DCC MV GARCH model of Engle (2002). Data sample including years from 1994 to 2009 is represented by daily returns of Prague Stock Exchange index and other 11 major stock indices. There is found an...

We analyse the determinants of stock market integration among EU member states for the period 19992007. First, we apply bivariate DCC-MGARCH models to extract dynamic conditional correlations between European stock markets, which are then explained by interest rate spreads, exchange rate risk,...

As the global financial crisis dethrones the developed world from its economic supremacy, by leading the global economic recovery and growth, the global growth generator (3G) countries are expected to fill the vacuum. Capital market i.e. stock market development can play a crucial role in...

As the global financial crisis dethrones the developed world from its economic supremacy, by leading the global economic recovery and growth, the global growth generator (3G) countries are expected to fill the vacuum. Capital market i.e. stock market development can play a crucial role in...

This study aims to examine the validity of Market Timing Theory (MTT) in the Indonesian context. The essence of MTT is when the market price of a company's stock is overvalued, the firms will take equity financing and debt financing for undervalued condition. The motivations of this study are to...