Using monthly observations of industrial production and stock market indices from January 1961 to May 2012, we analyse the long-run relationship between the stock markets and real economic activity in the G-7 countries. In particular, this analysis uses the Toda and Yamamoto (1995) approach with...

This paper investigates whether the daily stock returns of the Polish, Czech and Hungarian stock markets are covariance stationary. Using the Pagan – Schwert (1990) and Loretan – Phillips (1994) testing procedures, we show that contrary to the widely accepted assumption of covariance...

The weekly returns of equities are commonly used in the empirical research to avoid the non-synchronicity of daily data. An empirical analysis is used to show that the statistical properties of a weekly stock returns series strongly depend on the method used to construct this series. Three types...

Using dynamic conditional correlations (DCCs), we estimate the time-varying relationship between stock market returns and output growth based on monthly data for the US over the 1964:01 to 2012:07 time period. We demonstrate that in general, this relationship is positive and present during the...

The structure of return spillovers is examined by constructing Granger causality networks using daily closing prices of 20 developed markets from 2nd January 2006 to 31st December 2013. The data is properly aligned to take into account non-synchronous trading effects. The study of the resulting...

This study examines the relationship between time-varying correlations and conditional volatility among 32 worldwide emerging and frontier stock markets and the MSCI World stock market index from January 2000 to December 2012. Correlations are estimated in the standard and asymmetric dynamic...

Using a sample of monthly data from January 1996 to December 2012, we provide new evidence on the unidirectional Granger causality from real stock market returns to real economic activity in three Central and Eastern European countries: the Czech Republic, Hungary, and Poland. By employing the...

We demonstrate the economic relevance of minimum spanning trees (MSTs) constructed from dynamic conditional correlations (DCC) for a sample of S&P 100 constituents. An empirical comparison of MST properties shows that using the standard approach of rolling (or sliding-window) correlations yields...

We study the stock market integration of emerging CEE-3 stock markets (namely, the Czech, Hungarian, and Polish markets) and hypothesize that this process has been gradual over time. As a proxy for integration, co-movements with three stock market indices that represent the developed markets...

The authors analyze several monthly and quarterly macroeconomic time series for the Czech Republic, Poland, Hungary, and Slovakia. These countries embarked on an economic transition in the early 1990s which ultimately led to their membership in the European Union, with Slovakia joining the euro...