出版社：Juraj Dobrila University of Pula, Department of Economics and Tourism 'Dr. Mijo Mirkovic'
摘要：This paper examines the comovement and spillover dynamics between the Slovenian and some European (the UK, German, French, Austrian, Hungarian and the Czech) stock market returns. A dynamic conditional correlation GARCH (DCC-GARCH) analysis is applied to returns series of representative national stock indices for the period from April 1997 to May 2010 to answer the following questions: i) Is correlation (comovement) between the Slovenian and European stock markets time-varying; ii) Are there return and volatility spillovers between European and Slovenian stock markets; iii) What effect did financial crises in the period from April 1997 to May 2010 have on the comovement between the investigated stock markets? Results of the DCC-GARCH analysis show that comovement between Slovenian and European stock markets is time-varying and that there were significant return spillovers between the stock markets. Financial crises in the observed period increased comovement between Slovenian and European stock markets.
