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An international integration history of the Zagreb Stock Exchange
Luka Šikić* 
Article | Year: 2017 | Pages: 227 - 257 | Volume: 41 | Issue: 2 Received: December 21, 2016 | Accepted: March 14, 2017 | Published online: June 15, 2017
|
FULL ARTICLE
FIGURES & DATA
REFERENCES
CROSSMARK POLICY
METRICS
LICENCING
PDF
|
|
ZSE
|
S&P500
|
FTSE100
|
STOXX600
|
ATX
|
DAX
|
BUX
|
PX
|
WIG20
|
|
Mean
|
0.000
|
0.000
|
0.000
|
0.000
|
0.000
|
0.000
|
0.000
|
0.000
|
0.000
|
|
Median
|
0.000
|
0.000
|
0.000
|
0.000
|
0.000
|
0.000
|
0.000
|
0.000
|
0.000
|
|
Max.
|
0.175
|
0.109
|
0.103
|
0.094
|
0.120
|
0.107
|
0.136
|
0.123
|
0.137
|
|
Min.
|
-0.194
|
-0.094
|
-0.083
|
-0.081
|
-0.133
|
-0.127
|
-0.214
|
-0.161
|
-0.207
|
|
Std. dev.
|
0.015
|
0.012
|
0.010
|
0.013
|
0.014
|
0.015
|
0.017
|
0.014
|
0.017
|
|
Skewness
|
-0.054
|
-0.194
|
-0.255
|
-0.285
|
-0.546
|
-0.241
|
-0.778
|
-0.476
|
-0.506
|
|
Kurtosis
|
24.923
|
10.606
|
9.869
|
8.021
|
11.095
|
7.622
|
16.693
|
14.274
|
11.836
|
|
Jarque- Berra
(p-value)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
|
No. obs.
|
4,650
|
4,650
|
4,650
|
4,632
|
4,632
|
4,632
|
4,632
|
4,648
|
4,632
|
|
ADF
|
-18.222
|
-16.60064
|
-20.567
|
-20.954
|
-22.719
|
-20.399
|
-21.693
|
22.471
|
-23.877
|
|
Probability
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
|
ARCH(10)
|
135.490
|
167.816
|
178.484
|
100.647
|
130.147
|
77.540
|
83.972
|
63.246
|
55.157
|
|
Probability
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
(0.000)
|
|
Year
|
S&P500
|
FTSE100
|
DJSTOXX
|
ATX
|
DAX
|
BUX
|
PX
|
WIG20
|
|
1997
|
0.340
|
0.616
|
0.432
|
0.716
|
0.749
|
0.689
|
0.811
|
0.823
|
|
1998
|
0.211
|
0.378
|
0.350
|
0.494
|
0.459
|
0.490
|
0.577
|
0.494
|
|
1999
|
0.051
|
-0.001
|
0.107
|
0.222
|
0.140
|
0.238
|
0.313
|
0.307
|
|
2000
|
0.041
|
0.014
|
0.119
|
0.135
|
0.161
|
0.059
|
0.207
|
0.261
|
|
2001
|
0.059
|
0.047
|
0.145
|
0.278
|
0.117
|
0.222
|
0.202
|
0.181
|
|
2002
|
-0.053
|
-0.079
|
-0.011
|
0.068
|
0.093
|
0.036
|
0.095
|
0.094
|
|
2003
|
0.184
|
0.026
|
0.212
|
0.213
|
0.086
|
0.202
|
0.133
|
0.139
|
|
2004
|
0.045
|
-0.016
|
0.110
|
0.172
|
0.163
|
0.158
|
0.066
|
0.075
|
|
2005
|
0.021
|
0.008
|
0.042
|
0.074
|
0.101
|
0.030
|
0.139
|
0.109
|
|
2006
|
-0.029
|
0.015
|
0.037
|
0.102
|
0.131
|
0.092
|
0.216
|
0.100
|
|
2007
|
0.095
|
0.058
|
0.226
|
0.285
|
0.306
|
0.285
|
0.253
|
0.277
|
|
2008
|
0.474
|
-0.129
|
0.668
|
0.673
|
0.658
|
0.672
|
0.545
|
0.563
|
|
2009
|
0.360
|
0.009
|
0.547
|
0.605
|
0.574
|
0.557
|
0.375
|
0.505
|
|
2010
|
0.230
|
-0.045
|
0.339
|
0.353
|
0.363
|
0.313
|
0.312
|
0.355
|
|
2011
|
0.302
|
-0.095
|
0.385
|
0.463
|
0.498
|
0.448
|
0.364
|
0.417
|
|
2012
|
0.272
|
-0.046
|
0.353
|
0.346
|
0.392
|
0.366
|
0.240
|
0.281
|
|
2013
|
0.059
|
0.031
|
0.089
|
0.130
|
0.077
|
0.132
|
0.051
|
0.044
|
|
2014
|
0.193
|
0.070
|
0.217
|
0.225
|
0.136
|
0.184
|
0.086
|
0.184
|
|
2015
|
0.220
|
-0.073
|
0.237
|
0.251
|
0.232
|
0.230
|
0.174
|
0.226
|
|
2016
|
0.290
|
-0.016
|
0.361
|
0.398
|
0.350
|
0.386
|
0.345
|
0.211
|
|
Average
|
0.168
|
0.039
|
0.248
|
0.310
|
0.289
|
0.289
|
0.275
|
0.282
|
|
Index
|
Model
|
ω
|
α
|
β
|
γ
|
Logl
|
AIC
|
|
CROBEX
|
sGARCH
|
0.012
(0.000)
|
0.096
(0.000)
|
0.902
(0.000)
|
–
|
-7,095.87
|
3.053
|
|
S&P500
|
sGARCH
|
0.049
0.000)
|
0.089
(0.000)
|
0.897
(0.000)
|
–
|
-6,730.90
|
2.896
|
|
FTSE100
|
sGARCH
|
0.014
0.000)
|
0.098
(0.000)
|
0.891
(0.000)
|
–
|
-6,220.28
|
2.677
|
|
STOXX600
|
sGARCH
|
0.024
(0.000)
|
0.009
(0.173)
|
0.899
(0.000)
|
–
|
-6,912.23
|
2.986
|
|
ATX
|
eGARCH
|
0.013
0.000)
|
0.090
(0.000)
|
0.976
(0.000)
|
0.0448
(0.004)
|
-7,427.90
|
3.209
|
|
DAX
|
gjrGARCH
|
0.035
(0.000)
|
0.018
(0.003)
|
0.898
(0.000)
|
0.027
(0.110)
|
-7,911.81
|
3.418
|
|
BUX
|
eGARCH
|
0.039
(0.000)
|
0.017
(0.003)
|
0.878
(0.000)
|
0.029
(0.000)
|
-8,111.81
|
3.497
|
|
PX
|
gjrGARCH
|
0.041
(0.000)
|
0.017
(0.003)
|
0.925
(0.000)
|
0.036
(0.000)
|
-7,727.90
|
3.312
|
|
WIG20
|
gjrGARCH
|
0.044
(0.000)
|
0.016
(0.005)
|
0.944
(0.000)
|
0.040
(0.000)
|
-8,561.01
|
3.698
|
|
Index pairs
|
Model
|
α
|
β
|
γ
|
Logl
|
AIC
|
|
CROBEX –
S&P500
|
DCC
|
0.007
(0.001)
|
0.989
(0.000)
|
–
|
-13,759.50
|
5.922
|
|
CROBEX –
FTSE100
|
DCC
|
0.016
(0.003)
|
0.978
(0.000)
|
–
|
-13,157.02
|
5.663
|
|
CROBEX –
STOXX600
|
ADCC
|
0.019
(0.001)
|
0.968
(0.000)
|
0.005
(0.338)
|
-13,846.02
|
5.973
|
|
CROBEX –
ATX
|
ADCC
|
0.022
(0.000)
|
0.960
(0.000)
|
0.007
(0.500)
|
-14,364.07
|
6.196
|
|
CROBEX –
DAX
|
ADCC
|
0.019
(0.001)
|
0.962
(0.000)
|
0.008
(0.375)
|
-14,774.70
|
6.374
|
|
CROBEX – BUX
|
DCC
|
0.018
(0.001)
|
0.952
(0.000)
|
–
|
-14,763.90
|
6.467
|
|
CROBEX – PX
|
DCC
|
0.017
(0.001)
|
0.976
(0.000
|
–
|
14,257.03
|
6.033
|
|
CROBEX – WIG20
|
DCC
|
0.0055
(0.068)
|
0.986
(0.000)
|
–
|
-15,452.06
|
6.666
|
|
Year
|
S&P500
|
FTSE100
|
DJSTOXX
|
ATX
|
DAX
|
BUX
|
PX
|
WIG20
|
|
1997
|
0.169
|
0.239
|
0.429
|
0.465
|
0.437
|
0.480
|
0.194
|
0.542
|
|
1998
|
0.226
|
0.329
|
0.405
|
0.407
|
0.414
|
0.483
|
0.286
|
0.402
|
|
1999
|
0.138
|
0.189
|
0.270
|
0.248
|
0.259
|
0.343
|
0.287
|
0.296
|
|
2000
|
0.053
|
0.125
|
0.201
|
0.213
|
0.141
|
0.238
|
0.212
|
0.307
|
|
2001
|
0.085
|
0.154
|
0.263
|
0.177
|
0.237
|
0.231
|
0.183
|
0.268
|
|
2002
|
0.028
|
0.058
|
0.154
|
0.142
|
0.131
|
0.195
|
0.113
|
0.245
|
|
2003
|
0.160
|
0.222
|
0.254
|
0.158
|
0.242
|
0.215
|
0.188
|
0.240
|
|
2004
|
0.136
|
0.171
|
0.216
|
0.213
|
0.198
|
0.189
|
0.186
|
0.215
|
|
2005
|
0.070
|
0.091
|
0.148
|
0.166
|
0.133
|
0.198
|
0.195
|
0.233
|
|
2006
|
-0.010
|
0.049
|
0.151
|
0.168
|
0.147
|
0.253
|
0.215
|
0.225
|
|
2007
|
0.074
|
0.180
|
0.244
|
0.249
|
0.249
|
0.233
|
0.212
|
0.297
|
|
2008
|
0.187
|
0.409
|
0.475
|
0.446
|
0.462
|
0.339
|
0.394
|
0.415
|
|
2009
|
0.307
|
0.474
|
0.503
|
0.469
|
0.457
|
0.343
|
0.420
|
0.385
|
|
2010
|
0.253
|
0.351
|
0.368
|
0.363
|
0.334
|
0.306
|
0.366
|
0.350
|
|
2011
|
0.210
|
0.258
|
0.303
|
0.294
|
0.288
|
0.250
|
0.262
|
0.299
|
|
2012
|
0.273
|
0.356
|
0.344
|
0.348
|
0.342
|
0.277
|
0.306
|
0.312
|
|
2013
|
0.114
|
0.140
|
0.215
|
0.176
|
0.205
|
0.199
|
0.184
|
0.231
|
|
2014
|
0.154
|
0.205
|
0.238
|
0.183
|
0.225
|
0.199
|
0.164
|
0.277
|
|
2015
|
0.190
|
0.205
|
0.225
|
0.222
|
0.221
|
0.238
|
0.230
|
0.297
|
|
2016
|
0.222
|
0.299
|
0.338
|
0.306
|
0.332
|
0.292
|
0.307
|
0.283
|
|
Average
|
0.152
|
0.225
|
0.287
|
0.271
|
0.273
|
0.275
|
0.245
|
0.306
|
|
|
S&P500
|
FTSE100
|
DJSTOXX
|
ATX
|
DAX
|
BUX
|
PX
|
WIG20
|
|
Pre-crisis
|
0.241
|
0.329
|
0.454
|
0. 747
|
0.462
|
0.493
|
0.213
|
0.542
|
|
Post-crisis
|
0.113
|
0.198
|
0.297
|
0.257
|
0.302
|
0.371
|
0.309
|
0.313
|
|
|
S&P500
|
FTSE100
|
DJSTOXX
|
ATX
|
DAX
|
BUX
|
PX
|
WIG20
|
|
Pre-crisis
|
0.057
|
0.083
|
0.141
|
0.112
|
0.103
|
0.319
|
0.269
|
0.253
|
|
Crisis
|
0.030
|
0.078
|
0.163
|
0.107
|
0.118
|
0.222
|
0.168
|
0.191
|
|
Post-crisis
|
0.127
|
0.165
|
0.182
|
0.122
|
0.175
|
0.214
|
0.188
|
0.104
|
|
|
S&P500
|
FTSE100
|
DJSTOXX
|
ATX
|
DAX
|
BUX
|
PX
|
WIG20
|
|
Pre-crisis
|
0.002
|
0.039
|
0.121
|
0.136
|
0.100
|
0.219
|
0.197
|
0.112
|
|
Crisis
|
0.263
|
0.454
|
0.547
|
0.526
|
0.531
|
0.324
|
0.361
|
0.487
|
|
Post-crisis
|
0.279
|
0.376
|
0.403
|
0.413
|
0.381
|
0.296
|
0.346
|
0.370
|
|
|
S&P500
|
FTSE100
|
DJSTOXX
|
ATX
|
DAX
|
BUX
|
PX
|
WIG20
|
|
Announcement
|
0.370
|
0.305
|
0.333
|
0.364
|
0.330
|
0.262
|
0.286
|
0.275
|
|
Post-accession
|
0.169
|
0.184
|
0.202
|
0.156
|
0.219
|
0.213
|
0.193
|
0.208
|
|
Index
|
Model
|
ω
|
α
|
γ
|
β
|
Logl
|
AIC
|
|
CROBEX
|
sGARCH
|
1.587
(0.002)
|
0.384
(0.005)
|
|
0.558
(0.000)
|
-501.785
|
5.007
|
|
S&P500
|
sGARCH
|
0.067
(0.206)
|
0.145
(0.018)
|
|
0.830
(0.000)
|
-319.208
|
3.201
|
|
FTSE100
|
sGARCH
|
0.042
(0.299)
|
0.132
(0.021)
|
|
0.853
(0.000)
|
-306.173
|
3.071
|
|
STOXX600
|
eGARCH
|
0.058
(0.099)
|
-0.279
(0.000)
|
0.132
(0.201)
|
0.874
(0.000)
|
-329.931
|
3.316
|
|
ATX
|
sGARCH
|
0.354
(0.028)
|
0.438
(0.001)
|
|
0.560
(0.000)
|
-380.268
|
3.804
|
|
DAX
|
sGARCH
|
0.226
(0.145)
|
0.308
(0.000)
|
|
0.690
(0.000)
|
-398.881
|
3.989
|
|
BUX
|
sGARCH
|
0.212
(0.036)
|
0.288
(0.000)
|
|
0.570
(0.000)
|
-377.662
|
4.158
|
|
PX
|
sGARCH
|
0.07188
(0.315)
|
0.160
(0.025)
|
|
0.668
(0.000)
|
-335.377
|
3.321
|
|
WIG20
|
eGARCH
|
0.446
(0.000)
|
-0.368
(0.000)
|
0.546
(0.000)
|
0.822
(0.000)
|
-506.267
|
5.062
|
|
Index
pairs
|
Model
|
α
|
β
|
γ
|
Logl
|
AIC
|
|
CROBEX
– S&P500
|
DCC
|
0.000
(0.998)
|
0.979
(0.000)
|
|
-814.818
|
8.176
|
|
CROBEX
– FTSE100
|
DCC
|
0.004
(0.764)
|
0.983
(0.000)
|
|
-796.573
|
7.995
|
|
CROBEX
– STOXX600
|
aDCC
|
0.033
(0.589)
|
0.497
(0.061)
|
0.140
(0.405)
|
-814.322
|
8.181
|
|
CROBEX
– ATX
|
DCC
|
0.106
(0.046)
|
0.639
(0.000)
|
|
-850.348
|
8.528
|
|
CROBEX
– DAX
|
DCC
|
0.077
(0.089)
|
0.708
(0.000)
|
|
-873.038
|
8.752
|
|
CROBEX – BUX
|
DCC
|
0.075
(0.054)
|
0.608
(0.000)
|
|
-863.490
|
8.433
|
|
CROBEX – PX
|
DCC
|
0.000
(0.887)
|
0.946
(0.000)
|
|
-804.113
|
8.256
|
|
CROBEX – WIG20
|
DCC
|
0.1062
(0.014)
|
0.598
(0.000)
|
|
-976.138
|
9.773
|
|
Index
|
Model
|
ω
|
α
|
γ
|
β
|
δ
|
Logl
|
AIC
|
|
CROBEX
|
sGARCH
|
0.048
(0.000)
|
0.123
(0.000)
|
|
0.848
(0.000)
|
|
-1,023.41
|
2.991
|
|
S&P500
|
sGARCH
|
0.015
(0.022)
|
-0.175
(0.000)
|
0.131
(0.000)
|
0.956
(0.000)
|
|
-1,032.99
|
3.018
|
|
FTSE100
|
sGARCH
|
0.034
(0.020)
|
0.0755
(0.000)
|
|
0.898
(0.000)
|
|
-1,032.99
|
3.018
|
|
STOXX600
|
eGARCH
|
0.046
(0.023)
|
0.114
(0.000)
|
0.174
(0.000)
|
0.857
(0.000)
|
|
-1,081.22
|
3.153
|
|
ATX
|
sGARCH
|
0.026
(0.000)
|
-0.114
(0.000)
|
|
0.972
(0.000)
|
|
-1,286.79
|
3.760
|
|
DAX
|
sGARCH
|
0.041
(0.036)
|
0.097
(0.000)
|
|
0.884
(0.000)
|
|
-1,186.65
|
3.466
|
|
BUX
|
sGARCH
|
0.054
(0.000)
|
0.162
(0.000)
|
|
0.912
(0.000)
|
|
-1,221.45
|
3.412
|
|
PX
|
sGARCH
|
0.042
(0.022)
|
0.096
(0.000)
|
|
0.872
(0.000)
|
|
-1,221.45
|
3.412
|
|
WIG20
|
eGARCH
|
0.041 (0.036)
|
0.097 (0.000)
|
|
0.884 (0.000)
|
|
-1,186.65
|
3.466
|
|
Index
pairs
|
Model
|
α
|
β
|
γ
|
Logl
|
AIC
|
|
CROBEX
– S&P500
|
DCC
|
0.012
(0.381)
|
0.961
(0.000)
|
|
-1,249.83
|
8.160
|
|
CROBEX
– FTSE100
|
DCC
|
0.049
(0.015)
|
0.931
(0.000)
|
|
-1,188.46
|
7.763
|
|
CROBEX
– STOXX600
|
DCC
|
0.048
(0.057)
|
0.938
(0.000)
|
|
-1,237.20
|
8.079
|
|
CROBEX
– ATX
|
DCC
|
0.008
(0.358)
|
0.962
(0.000)
|
|
-1,232.79
|
8.050
|
|
CROBEX
– DAX
|
aDCC
|
0.041
(0.057)
|
0.928
(0.000)
|
0.019
(0.685)
|
-1,313.21
|
8.577
|
|
CROBEX
– BUX
|
DCC
|
0.000
(0.288)
|
0.954
(0.000)
|
|
-1,411.32
|
8.336
|
|
CROBEX
– PX
|
aDCC
|
0.043
(0.000)
|
0.956
(0.000)
|
0.022
(0.225)
|
-1,397.34
|
8.621
|
|
CROBEX
– WIG20
|
DCC
|
0.094
(0.126)
|
0.360
(0.433)
|
|
-1,372.82
|
8.956
|
|
Index
|
Model
|
ω
|
α
|
γ
|
β
|
δ
|
Logl
|
AIC
|
|
CROBEX
|
sGARCH
|
1.269
(0.026)
|
0.221
(0.000)
|
|
0.518
(0.000)
|
|
-857.067
|
4.337
|
|
S&P500
|
eGARCH
|
0.049
(0.075)
|
-0.195
(0.000)
|
0.027
(0.472)
|
0.890
(0.000)
|
|
-647.875
|
3.289
|
|
FTSE100
|
sGARCH
|
0.039
(0.241)
|
0.023
(0.148)
|
|
0.935
(0.000)
|
|
-565.582
|
2.869
|
|
STOXX600
|
sGARCH
|
0.050
(0.138)
|
0.043
(0.025)
|
|
0.912
(0.000)
|
|
-598.827
|
3.036
|
|
ATX
|
gjrGARCH
|
0.026
(0.052)
|
0.048
(0.063)
|
0.057
(0.145)
|
0.895
(0.000)
|
|
-553.632
|
2.814
|
|
DAX
|
sGARCH
|
0.061
(0.116)
|
0.048
(0.007)
|
|
0.919
(0.000)
|
|
-695.427
|
3.523
|
|
BUX
|
sGARCH
|
0.002
(0.052)
|
0.028
(0.000)
|
|
0.955
(0.000)
|
|
-421.736
|
2.145
|
|
PX
|
gjrGARCH
|
0.048
(0.032)
|
0.045
(0.000)
|
-0.047
(0.054)
|
0.962
(0.000)
|
|
-793.558
|
3.892
|
|
WIG20
|
gjrGARCH
|
0.049
(0.048)
|
0.049
(0.001)
|
-0.032
(0.119)
|
0.949
(0.000)
|
|
-787.256
|
3.991
|
|
Index
pairs
|
Model
|
α
|
β
|
γ
|
Logl
|
AIC
|
|
CROBEX
– S&P500
|
DCC
|
0.000
(0.998)
|
0.920
(0.000)
|
|
-1,513.53
|
7.680
|
|
CROBEX
– FTSE100
|
DCC
|
0.012
(0.223)
|
0.965
(0.000)
|
|
-895.32
|
4.565
|
|
CROBEX
– STOXX600
|
DCC
|
0.011
(0.203)
|
0.946
(0.000)
|
|
-1,207.31
|
6.137
|
|
CROBEX
– ATX
|
DCC
|
0.008
(0.778)
|
0.800
(0.000)
|
|
-1,410.83
|
7.173
|
|
CROBEX
– DAX
|
DCC
|
0.000
(0.999)
|
0.870
(0.000)
|
|
-1,549.85
|
7.873
|
|
CROBEX – BUX
|
DCC
|
0.577
(0.000)
|
0.375
(0.000)
|
|
-1,822.21
|
8.923
|
|
CROBEX – PX
|
DCC
|
0.466
(0.000)
|
0.394
(0.000)
|
|
-1,744.37
|
8.647
|
|
CROBEX – WIG20
|
DCC
|
0.451
(0.000)
|
0.477
(0.000)
|
|
-1,632.89
|
8.296
|
|
Index
|
Model
|
ω
|
α
|
γ
|
β
|
δ
|
Logl
|
AIC
|
|
CROBEX
|
sGARCH
|
0.089
(0.002)
|
0.059
(0.000)
|
|
0.899
(0.000)
|
|
-1,236.83
|
3.560
|
|
S&P500
|
eGARCH
|
-0.002
(0.698)
|
-0.070
(0.031)
|
0.078
(0.013)
|
0.951
(0.000)
|
|
-950.66
|
2.742
|
|
FTSE100
|
sGARCH
|
0.078
(0.030)
|
0.100
(0.000)
|
|
0.854
(0.000)
|
|
-1,138.37
|
3.278
|
|
STOXX600
|
sGARCH
|
0.039
(0.034)
|
0.126
(0.000)
|
|
0.857
(0.000)
|
|
-1,178.63
|
3.393
|
|
ATX
|
eGARCH
|
-0.010
(0.000)
|
-0.075
(0.000)
|
0.0148 (0.496)
|
0.973
(0.000)
|
|
-858.56
|
2.478
|
|
DAX
|
eGARCH
|
0.050
(0.074)
|
0.114
(0.000)
|
|
0.876
(0.000)
|
|
-1380.57
|
3.972
|
|
BUX
|
sGARCH
|
0.193
(0.022)
|
0.000
(0.000)
|
|
0.955
(0.000)
|
|
-1,470.98
|
4.028
|
|
PX
|
sGARCH
|
0.166
(0.054)
|
0.067
(0.000)
|
|
0.877
(0.000)
|
|
-1,270.98
|
3.867
|
|
WIG20
|
sGARCH
|
0.151
(0.062)
|
0.0548
(0.003)
|
|
0.896
(0.000)
|
|
-1,380.20
|
3.971
|
|
Index
pairs
|
Model
|
α
|
β
|
γ
|
Logl
|
AIC
|
|
CROBEX
– S&P500
|
DCC
|
0.000
(0.998)
|
0.920
(0.000)
|
|
-1,513.53
|
7.680
|
|
CROBEX
– FTSE100
|
DCC
|
0.012
(0.223)
|
0.965
(0.000)
|
|
-895.32
|
4.565
|
|
CROBEX
– STOXX600
|
DCC
|
0.011
(0.203)
|
0.946
(0.000)
|
|
-1,207.31
|
6.137
|
|
CROBEX
– ATX
|
DCC
|
0.008
(0.778)
|
0.800
(0.000)
|
|
-1,410.83
|
7.173
|
|
CROBEX
– DAX
|
DCC
|
0.000
(0.999)
|
0.870
(0.000)
|
|
-1,549.85
|
7.873
|
|
CROBEX
– BUX
|
DCC
|
0.000
(0.568)
|
0.956
(0.000)
|
|
-1,756.92
|
8.994
|
|
CROBEX
– PX
|
DCC
|
0.572
(0.879)
|
0.534
(0.000)
|
|
-1,589.74
|
8.177
|
|
CROBEX
– WIG20
|
DCC
|
0.451
(0.000)
|
0.477
(0.000)
|
|
-1,632.89
|
8.296
|
|
Index
|
Model
|
ω
|
α
|
γ
|
β
|
δ
|
Logl
|
AIC
|
|
CROBEX
|
sGARCH
|
0.016
(0.135)
|
0.034
(0.013)
|
|
0.952
(0.000)
|
|
-730.117
|
2.978
|
|
S&P500
|
eGARCH
|
0.008
(0.143)
|
0.029
(0.006)
|
|
0.957
(0.000)
|
|
-622.322
|
2.540
|
|
FTSE100
|
sGARCH
|
0.006
(0.089)
|
0.005
(0.668)
|
0.047
(0.017)
|
0.956
(0.000)
|
|
-564.725
|
2.311
|
|
STOXX600
|
sGARCH
|
0.015
(0.021)
|
0.006
(0.734)
|
0.128
(0.002)
|
0.910
(0.000)
|
|
-652.934
|
2.669
|
|
ATX
|
sGARCH
|
0.046
(0.308)
|
0.073
(0.044)
|
|
0.861
(0.000)
|
|
-602.566
|
2.460
|
|
DAX
|
sGARCH
|
0.018
(0.135)
|
0.074
(0.000)
|
|
0.913
(0.000)
|
|
-836.468
|
3.409
|
|
BUX
|
sGARCH
|
0.067
(0.567)
|
0.096
(0.067)
|
|
0.785
(0.000)
|
|
-892.217
|
2.966
|
|
PX
|
sGARCH
|
0.019
(0.478)
|
0.064
(0.000)
|
|
0.978
(0.000)
|
|
-847.155
|
3.522
|
|
WIG20
|
sGARCH
|
0.001
(0.564)
|
0.0478
(0.000)
|
0.035
(0.000)
|
0.996
(0.000)
|
|
-801.450
|
3.271
|
|
Index
pairs
|
Model
|
α
|
β
|
γ
|
Logl
|
AIC
|
|
CROBEX
– S&P500
|
DCC
|
0.019
(0.365)
|
0.917
(0.000)
|
|
-1,347.70
|
5.512
|
|
CROBEX
– FTSE100
|
DCC
|
0.007
(0.426)
|
0.980
(0.000)
|
|
-1,271.10
|
5.209
|
|
CROBEX
– STOXX600
|
DCC
|
0.071
(0.027)
|
0.706
(0.000)
|
|
-1,379.04
|
5.639
|
|
CROBEX
– ATX
|
aDCC
|
0.014
(0.395)
|
0.936
(0.000)
|
0.014
(0.519)
|
-1,327.43
|
5.433
|
|
CROBEX
– DAX
|
DCC
|
0.019
(0.073)
|
0.957
(0.000)
|
|
-1,558.00
|
6.365
|
|
CROBEX – BUX
|
DCC
|
0.027
(0.008)
|
0.997
(0.000)
|
|
-1,733.22
|
6.685
|
|
CROBEX – PX
|
DCC
|
0.020
(0.055)
|
0.978
(0.000)
|
|
-1,655.10
|
6.467
|
|
CROBEX – WIG20
|
DCC
|
0.000
(0.899)
|
0.931
(0.008)
|
|
-1,532.08
|
6.260
|
|
Index
|
Model
|
ω
|
α
|
γ
|
β
|
δ
|
Logl
|
AIC
|
|
CROBEX
|
sGARCH
|
0.272
(0.000)
|
0.274
(0.000)
|
|
0.443
(0.000)
|
|
-848.33
|
2.655
|
|
S&P500
|
eGARCH
|
0.025
(0.022)
|
0.053
(0.000)
|
|
0.894
(0.000)
|
|
-657.45
|
2.060
|
|
FTSE100
|
sGARCH
|
0.015
(0.040)
|
0.063
(0.000)
|
|
0.898
(0.000)
|
|
-579.05
|
1.816
|
|
STOXX600
|
gjrGARCH
|
0.038
(0.000)
|
-0.221
(0.000)
|
0.002
(0.937)
|
0.942
(0.000)
|
|
-662.30
|
2.078
|
|
ATX
|
eGARCH
|
0.006
(0.512)
|
-0.142
(0.000)
|
0.166
(0.000)
|
0.926
(0.000)
|
|
-911.51
|
2.855
|
|
DAX
|
sGARCH
|
0.060
(0.024)
|
0.101
(0.001)
|
|
0.827
(0.000)
|
|
-827.05
|
2.589
|
|
BUX
|
sGARCH
|
0.078
(0.003)
|
0.458
(0.000)
|
|
0.948
(0.000)
|
|
-1,452.66
|
3.532
|
|
PX
|
sGARCH
|
0.071
(0.784)
|
0.526
(0.418)
|
|
0.921
(0.000)
|
|
-1,397.77
|
3.459
|
|
WIG20
|
eGARCH
|
0.009
(0.015)
|
0.025
(0.241)
|
0.116
(0.050)
|
0.989
(0.000)
|
|
-1,091.26
|
3.415
|
|
Index
pairs
|
Model
|
α
|
β
|
γ
|
Logl
|
AIC
|
|
CROBEX
– S&P500
|
DCC
|
0.0176
(0.094)
|
0.966
(0.000)
|
|
-1,503.86
|
4.719
|
|
CROBEX
– FTSE100
|
DCC
|
0.018
(0.151)
|
0.960
(0.000)
|
|
-1,409.02
|
4.430
|
|
CROBEX
– STOXX600
|
DCC
|
0.011
(0.298)
|
0.957
(0.000)
|
|
-1,528.45
|
4.795
|
|
CROBEX
– ATX
|
DCC
|
0.011
(0.359)
|
0.961
(0.000)
|
|
-1,757.78
|
5.510
|
|
CROBEX
– DAX
|
DCC
|
0.003
(0.800)
|
0.964
(0.000)
|
|
-1,652.63
|
5.188
|
|
CROBEX
– BUX
|
DCC
|
0.019
(0.667)
|
0.988
(0.000)
|
|
2,578.33
|
6.366
|
|
CROBEX
– PX
|
DCC
|
0.023
(0.541)
|
0.974
(0.089)
|
|
-2,341.22
|
6.225
|
|
CROBEX
– WIG20
|
DCC
|
0.017
(0.114)
|
0.955
(0.000)
|
|
-1,927.81
|
6.046
|
|
Index
|
Model
|
ω
|
α
|
γ
|
β
|
δ
|
Logl
|
AIC
|
|
CROBEX
|
sGARCH
|
0.188
(0.018)
|
0.222
(0.000)
|
|
0.759
(0.000)
|
|
-838.207
|
4.128
|
|
S&P500
|
eGARCH
|
0.033
(0.000)
|
-0.171
(0.000)
|
0.123
(0.000)
|
0.976
(0.000)
|
|
-831.024
|
4.098
|
|
FTSE100
|
sGARCH
|
0.030
(0.121)
|
0.146
(0.000)
|
|
0.852
(0.000)
|
|
-730.960
|
3.602
|
|
STOXX600
|
eGARCH
|
0.027
(0.007)
|
-0.192
(0.000)
|
0.075
(0.059)
|
0.975
(0.000)
|
|
-798.428
|
3.938
|
|
ATX
|
sGARCH
|
0.144
(0.069)
|
0.149
(0.000)
|
|
0.835
(0.000)
|
|
-911.964
|
4.490
|
|
DAX
|
sGARCH
|
0.072
(0.043)
|
0.153
(0.000)
|
|
0.845
(0.000)
|
|
-814.222
|
4.010
|
|
BUX
|
sGARCH
|
0.187
(0.335)
|
0.189
(0.000)
|
|
0.948
(0.000)
|
|
-817.657
|
4.230
|
|
PX
|
sGARCH
|
0.075
(0.087)
|
0.112
(0.000)
|
|
0.874
(0.000)
|
|
-834.447
|
4.230
|
|
WIG20
|
sGARCH
|
0.085
(0.153)
|
0.0911
(0.001)
|
|
0.896
(0.000)
|
|
-882.125
|
4.343
|
|
Index
pairs
|
Model
|
α
|
β
|
γ
|
Logl
|
AIC
|
|
CROBEX
– S&P500
|
DCC
|
0.026
(0.109)
|
0.928
(0.000)
|
|
-1,659.48
|
8.188
|
|
CROBEX
– FTSE100
|
DCC
|
0.061
(0.003)
|
0.902
(0.000)
|
|
-1,511.40
|
7.462
|
|
CROBEX
– STOXX600
|
DCC
|
0.035
(0.141)
|
0.915
(0.000)
|
|
-1,576.28
|
7.780
|
|
CROBEX
– ATX
|
DCC
|
0.050
(0.095)
|
0.804
(0.000)
|
|
-1,679.81
|
8.288
|
|
CROBEX
– DAX
|
DCC
|
0.074
(0.015)
|
0.819
(0.000)
|
|
-1,575.50
|
7.777
|
|
CROBEX
– BUX
|
DCC
|
0.043
(0.062)
|
0.865
(0.000)
|
|
-1,593.23
|
7.922
|
|
CROBEX
– PX
|
DCC
|
0.049
(0.326)
|
0.905
(0.000)
|
|
-1,578.13
|
8.102
|
|
CROBEX
– WIG20
|
DCC
|
0.002
(0.749)
|
0.979
(0.000)
|
|
-1,664.30
|
8.212
|
|
Index
|
Model
|
ω
|
α
|
γ
|
β
|
δ
|
Logl
|
AIC
|
|
CROBEX
|
sGARCH
|
0.048
(0.000)
|
0.123
(0.000)
|
|
0.848
(0.000)
|
|
-1,023.41
|
2.991
|
|
S&P500
|
eGARCH
|
0.015
(0.022)
|
-0.175
(0.000)
|
0.131
(0.000)
|
0.956
(0.000)
|
|
-1,054.26
|
3.083
|
|
FTSE100
|
sGARCH
|
0.034
(0.020)
|
0.075
(0.000)
|
|
0.898
(0.000)
|
|
-1,032.99
|
3.018
|
|
STOXX600
|
sGARCH
|
0.046
(0.023)
|
0.114
(0.000)
|
|
0.857
(0.000)
|
|
-1,081.22
|
3.159
|
|
ATX
|
eGARCH
|
0.026
(0.000)
|
-0.114
(0.000)
|
0.174
(0.000)
|
0.972
(0.000)
|
|
-1,286.79
|
3.760
|
|
DAX
|
sGARCH
|
0.041
(0.036)
|
0.097
(0.000)
|
|
0.884
(0.000)
|
|
-1,186.65
|
3.466
|
|
BUX
|
sGARCH
|
0.054
(0.042)
|
0.086
(0.000)
|
|
0.962
(0.000)
|
|
-1,011.23
|
2.885
|
|
PX
|
sGARCH
|
0.039
(0.064)
|
0.092
(0.000)
|
|
0.894
(0.000)
|
|
-1,039.84
|
2.999
|
|
WIG20
|
sGARCH
|
0.041
(0.036)
|
0.097
(0.000)
|
|
0.884
(0.000)
|
|
-1,186.65
|
3.466
|
|
Index
pairs
|
Model
|
α
|
β
|
γ
|
Logl
|
AIC
|
|
CROBEX
– S&P500
|
DCC
|
0.000
(0.999)
|
0.914
(0.000)
|
|
-2,066.35
|
6.047
|
|
CROBEX
– FTSE100
|
DCC
|
0.036
(0.158)
|
0.785
(0.000)
|
|
-2,003.32
|
5.864
|
|
CROBEX
– STOXX600
|
DCC
|
0.037
(0.140)
|
0.855
(0.000)
|
|
-2,042.42
|
5.977
|
|
CROBEX
– ATX
|
aDCC
|
0.051
(0.009)
|
0.908
(0.000)
|
0.014
(0.700)
|
-2,252.50
|
6.592
|
|
CROBEX
– DAX
|
aDCC
|
0.036
(0.524)
|
0.729
(0.000)
|
0.055
(0.644)
|
-2,158.95
|
6.320
|
|
CROBEX
– BUX
|
DCC
|
0.026
(0.189)
|
0.966
(0.000)
|
|
-2,047.59
|
6.00
|
|
CROBEX
– PX
|
DCC
|
0.037
(0.136)
|
0.845
(0.000)
|
|
-2,018.22
|
5.912
|
|
CROBEX
– WIG20
|
DCC
|
0.000
(0.999)
|
0.914
(0.000)
|
|
-2,185.96
|
6.401
|
|
Index
|
Model
|
ω
|
α
|
γ
|
β
|
δ
|
Logl
|
AIC
|
|
CROBEX
|
sGARCH
|
0.017
(0.038)
|
0.058
(0.002)
|
|
0.909
(0.000)
|
|
-577.732
|
2.331
|
|
S&P500
|
sGARCH
|
0.045
(0.008)
|
0.137
(0.000)
|
|
0.824
(0.000)
|
|
-696.614
|
2.808
|
|
FTSE100
|
eGARCH
|
-0.001
(0.766)
|
-0.138
(0.000)
|
0.065
(0.078)
|
0.981
(0.000)
|
|
-662.568
|
2.675
|
|
STOXX600
|
eGARCH
|
0.002
(0.610)
|
-0.160
(0.000)
|
0.041
(0.000)
|
0.980
(0.000)
|
|
-726.550
|
2.932
|
|
ATX
|
sGARCH
|
0.019
(0.112)
|
0.047
(0.001)
|
|
0.943
(0.000)
|
|
-916.754
|
3.690
|
|
DAX
|
sGARCH
|
0.031
(0.081)
|
0.072
(0.001)
|
|
0.913
(0.000)
|
|
-867.097
|
3.491
|
|
BUX
|
sGARCH
|
0.006
(0.459)
|
0.084
(0.000)
|
|
0.921
(0.000)
|
|
-798.514
|
3.124
|
|
PX
|
sGARCH
|
0.031
(0.985)
|
0.051
(0.000)
|
|
0.962
(0.000)
|
|
-801.044
|
3.266
|
|
WIG20
|
sGARCH
|
0.018
(0.096)
|
0.066
(0.000)
|
|
0.924
(0.000)
|
|
-807.977
|
3.254
|
|
Index
pairs
|
Model
|
α
|
β
|
γ
|
Logl
|
AIC
|
|
CROBEX
– S&P500
|
DCC
|
0.064
(0.244)
|
0.758
(0.003)
|
|
-2,185.96
|
6.401
|
|
CROBEX
– FTSE100
|
DCC
|
0.012
(0.068)
|
0.982
(0.000)
|
|
-1,233.24
|
4.986
|
|
CROBEX
– STOXX600
|
DCC
|
0.010
(0.122)
|
0.985
(0.000)
|
|
-1,298.36
|
5.248
|
|
CROBEX
– ATX
|
DCC
|
0.017
(0.090)
|
0.978
(0.000)
|
|
-1,456.72
|
5.882
|
|
CROBEX
– DAX
|
DCC
|
0.011
(0.057)
|
0.984
(0.000)
|
|
-1,416.62
|
5.721
|
|
CROBEX – BUX
|
DCC
|
0.052
(0.325)
|
0.956
(0.000)
|
|
-1,385.76
|
5.244
|
|
CROBEX – PX
|
DCC
|
0.012
(0.074)
|
0.896
(0.000)
|
|
-1,399.21
|
5.635
|
|
CROBEX
– WIG20
|
aDCC
|
0.015
(0.055)
|
0.979
(0.000)
|
0.001
(0.921)
|
-1,365.01
|
5.519
|
|
Index
|
Model
|
ω
|
α
|
γ
|
β
|
δ
|
Logl
|
AIC
|
|
CROBEX
|
sGARCH
|
0.013
(0.741)
|
0.037
(0.477)
|
|
0.907
(0.000)
|
|
-422.023
|
1.429
|
|
S&P500
|
sGARCH
|
0.058
(0.002)
|
0.199
(0.000)
|
|
0.727
(0.000)
|
|
-653.439
|
2.209
|
|
FTSE100
|
eGARCH
|
-0.030
(0.039)
|
-0.223
(0.000)
|
0.123
(0.007)
|
0.952
(0.000)
|
|
-619.138
|
2.094
|
|
STOXX600
|
sGARCH
|
0.028
(0.039)
|
0.123
(0.000)
|
|
0.857
(0.000)
|
|
-814.607
|
2.747
|
|
ATX
|
sGARCH
|
0.309
(0.029)
|
0.116
(0.004)
|
|
0.648
(0.000)
|
|
-917.427
|
3.092
|
|
DAX
|
sGARCH
|
0.031
(0.045)
|
0.102
(0.000)
|
|
0.883
(0.000)
|
|
-938.051
|
3.161
|
|
BUX
|
sGARCH
|
0.034
(0.084)
|
0.355
(0.000)
|
|
0.978
(0.000)
|
|
-924.025
|
3.332
|
|
PX
|
sGARCH
|
0.048
(0.123)
|
0.024
(0.120)
|
|
0.877
(0.000)
|
|
-889.051
|
3.665
|
|
WIG20
|
eGARCH
|
0.006
(0.235)
|
-0.078
(0.001)
|
0.089
(0.084)
|
0.973
(0.000)
|
|
-862.443
|
2. 613
|
|
Index
pairs
|
Model
|
α
|
β
|
γ
|
Logl
|
AIC
|
|
CROBEX
– S&P500
|
DCC
|
0.000
(0.997)
|
0.887
(0.000)
|
|
-1,067.06
|
3.624
|
|
CROBEX
– FTSE100
|
DCC
|
0.045
(0.333)
|
0.481
(0.010)
|
|
-1,030.41
|
3.501
|
|
CROBEX
– STOXX600
|
DCC
|
0.037
(0.357)
|
0.797
(0.012)
|
|
-1,222.20
|
4.138
|
|
CROBEX
– ATX
|
DCC
|
0.027
(0.220)
|
0.836
(0.000)
|
|
-1,330.35
|
4.501
|
|
CROBEX
– DAX
|
DCC
|
0.027
(0.140)
|
0.906
(0.000)
|
|
-1,345.52
|
4.554
|
|
CROBEX – BUX
|
DCC
|
0.035
(0.566)
|
0.795
(0.000)
|
|
-1,328.64
|
4.347
|
|
CROBEX – PX
|
DCC
|
0.000
(0.412)
|
0.741
(0.000)
|
|
-1,202.54
|
4.255
|
|
CROBEX – WIG20
|
DCC
|
0.000
(0.998)
|
0.905
(0.000)
|
|
-1,280.62
|
4.334
|
Figure 1Return plots of the series DISPLAY Figure
Table 1Descriptive statistics of return series DISPLAY Table
Table 2Simple correlation coefficients for the full sample period (annual averages) DISPLAY Table
Table 3ASelected univariate GARCH models and parameter estimation results for the full sample period DISPLAY Table
Table 3BSelected bivariate asymmetric dynamic conditional correlation models and parameter estimation results for the full sample period DISPLAY Table
Table 3CDynamic conditional correlation estimates for the full sample period (annual averages) DISPLAY Table
Figure 2Conditional correlations from the estimated A/DCC model DISPLAY Figure
Table 4ADynamic conditional correlation estimates for the Russian crisis (period averages) DISPLAY Table
Table 5ADynamic conditional correlation estimates for the dot-com and 9/11 crisis (period averages) DISPLAY Table
Table 6ADynamic conditional correlation estimates for the subprime mortgage crisis (period averages) DISPLAY Table
Table 7ADynamic conditional correlation estimates for EU accession (period averages) DISPLAY Table
Table 4BSelected univariate GARCH models and parameter estimation results for the pre-Russian crisis period DISPLAY Table
Table 4CSelected bivariate asymmetric/dynamic conditional correlation models and parameter estimation results for the pre-Russian crisis period DISPLAY Table
Table 4DSelected univariate GARCH models and parameter estimation results for the post-Russian crisis period DISPLAY Table
Table 4ESelected bivariate models and parameter estimation results for the post-Russian crisis period DISPLAY Table
Table 5BSelected univariate GARCH models and parameter estimation results for the pre-dot-com and 9/11 period DISPLAY Table
Table 5CSelected bivariate models and parameter estimation results for the pre-dot-com and 9/11 period DISPLAY Table
Table 5DSelected univariate GARCH models and parameter estimation results for the dot-com and 9/11 crisis period DISPLAY Table
Table 5ESelected bivariate models and parameter estimation results for the dot-com and 9/11 period DISPLAY Table
Table 5FSelected univariate GARCH models and parameter estimation results for the post-dot-com and 9/11 period DISPLAY Table
Table 5GSelected bivariate models and parameter estimation results for the post-dot-com and 9/11 period DISPLAY Table
Table 6BSelected univariate GARCH models and parameter estimation results for the pre-subprime mortgage crisis period DISPLAY Table
Table 6CSelected bivariate models and parameter estimation results for the pre-subprime mortgage crisis period DISPLAY Table
Table 6DSelected univariate GARCH models and parameter estimation results for the subprime mortgage crisis period DISPLAY Table
Table 6ESelected bivariate models and parameter estimation results for the subprime mortgage crisis period DISPLAY Table
Table 6FSelected univariate GARCH models and parameter estimation results for the post-subprime mortgage crisis period DISPLAY Table
Table 6GSelected bivariate models and parameter estimation results for the post-subprime mortgage crisis period DISPLAY Table
Table 7BSelected univariate GARCH models and parameter estimation results for the announcement period DISPLAY Table
Table 7CSelected bivariate models and parameter estimation results for the announcement period DISPLAY Table
Table 7DSelected univariate GARCH models and parameter estimation results for the post-accession period DISPLAY Table
Table 7ESelected bivariate models and parameter estimation results for the post-accession period DISPLAY Table
* The authors would like to thank to the two anonymous referees for useful comments and suggestions.
l ( εt < 0) is a 1 xk indicator function that takes on the value 1 when εt < 0 and 0 in other cases.
Since the tests for the residuals of our univariate GARCH models show that they are not normally distributed.
|
|
June, 2017
II/2017
|
