期刊名称：Zagreb International Review of Economics and Business
印刷版ISSN：1331-5609
出版年度：2009
卷号：12
期号：2
页码：57-72
出版社：Ekonomski fakultet Sveučilišta u Zagrebu
摘要：American stock markets are by far the most influential markets in the world, and the abundance of information coming from them is closely monitored all over the planet. However, it seems difficult to rationally explain the immense scope of impact of the US stock indices on a rather small market such as Croatian. Zagreb Stock Exchange quotes Croatian companies that have low international significance, can rarely be perceived as strong regional players, and their connections with the USA (if any) are weak and mostly exceptions to the rule. This study follows the methodology and findings of Erjavec and Cota (2007), as an extension and further examination of the dependency of the Crobex index to the main US indices (DJIA, S&P500, NASDAQ). The econometric study is widened, and the persistent relationship between Croatian and American indices is additionally elaborated using ARIMA and GARCH models. Along with quantitative determination of the interconnectedness three concepts are introduced to explain high correlation and co-movements between Croatian and American indices; global factors, contagion and irrational escalation.
关键词：ARIMA; GARCH; Crobex; Zagreb Stock Exchange; financial crisis; behavioural finance
