TIME-FREQUENCY NEXUS BETWEEN THE EASTERN EUROPEAN AND THE DEVELOPED STOCK MARKETS – THE CASE OF VISEGRAD GROUP

Dejan Živkov; Emilija Mihajlović; Kristina Kostić

doi:10.5937/skolbiz1-22286

Dejan Živkov
Emilija Mihajlović
Kristina Kostić

DOI: https://doi.org/10.5937/skolbiz1-22286

Ključne reči: tržište akcija, Višegradska grupa, wavelet koherencija, zaraza i međuzavisnost

Sažetak

Ovaj rad utvrđuje nivo međusobne veze između četiri tržišta akcija višegradske grupe i dva razvijena tržišta akcija (Nemačke i Amerike). Nastojimo da utvrdimo dinamičku vezu preko vremenskog domena, kao i domena frekvencije, i za te svrhe koristimo metodu wavelet koherencije. Rezultati ukazuju da tamnocrvena polja preovlađuju oko Svetske finansijske krize i Evropske krize suverenog duga, i one postoje čak i na poljima visoke frekvencije (4 dana) u parovima DAX-PX, DAX-WIG, i donekle DAX-BUX. To ukazuje na snažne veze između Višegradske grupe i DAX indeksa, dok su veze sa američkim indeksom nešto slabije. Slovački SAX indeks ima najšire polje niske korelacije, dok prisustvo „zaraze“ ne može da bude pronađeno. Ovaj nalaz sugeriše da slovački SAX indeks ima najmanje sinhronizovano kretanje sa dva velika tržišna indeksa, i stoga može biti upotrebljen za potrebe diverzifikacije u portfolijima sa DAX i S&P500 indeksima.

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