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This paper aims to detect and explain co-movements and spillover effects between American and Croatian stock markets. Following the methodology and findings of Erjavec and Cota (2007), the dependency of the Corbel index to the main US indices (DJIA, S&P500, NASDAQ) is further examined. The econometric study is widened, and the persistent relationship between Croatian and American indices is additionally elaborated using ARIMA and GARCH models using a different data set (January 3rd, 2005 to November 6th, 2008). Despite the fact that intra-sectoral connections between Croatian and American business sectors are rather weak, it is clear that the investors on the Croatian stock market dominantly rely on American indices movements.
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