Prague Economic Papers 2006, 15(3):231-242 | DOI: 10.18267/j.pep.286
Empirical Analysis of Persistence and Dependence Patterns Among the Capital Markets
- Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic; Institute of Economic Studies, Faculty of Social Sciences, Charles University, Prague (vosvrda@vtia.cas.cz).
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.
Keywords: dependence structure, shock transmission, non-parametric univariate ? multivariate measures of the shock persistence
JEL classification: C13, C3, G14
Published: January 1, 2006 Show citation
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