Open AccessCommonalities in Returns in the Stock Markets of the Visegrad Group: A Quantile Coherency Approach
Author(s) -
Blanka Łęt
Publication year - 2020
Publication title -
financial assets and investing
Language(s) - English
Resource type - Journals
eISSN - 1804-509X
pISSN - 1804-5081
DOI - 10.5817/fai2020-2-3
Subject(s) - czech , quantile , slovak , stock (firearms) , stock market , stock exchange , accession , financial economics , economics , stock market index , interdependence , european union , econometrics , business , international economics , geography , finance , philosophy , linguistics , context (archaeology) , archaeology , political science , law
The aim of this paper is to investigate the dependence structure in the frequency domain for the joint distribution of returns from the stock markets in the countries belonging to the V4 countries. We analyze twenty-years of historical daily prices of four main stock indices from the Czech Republic, Hungary, Poland, and Slovakia. Using a quantile coherency measure we found, that linkages between Czech, Hungarian, and Polish stock markets are significantly positive for all considered quantiles and frequencies. These three markets are more strongly dependent during the long downturns and the effect is permanent after the European Union accession. The Slovak stock market is the least connected with other countries in the group. Results of the paper revealed, that Czech, Hungarian and Polish stock market is subject to similar trends in terms of returns for different investment horizons. International market participants should incorporate interdependencies between these markets during the portfolio building process.