engleski

Using ARIMA and GARCH to assess the impact of the American stock markets on the German stock market

There is no doubt that the American stock markets are by far the most influential in the World. This was especially present during the beginning of the financial crisis, when spillover effects (as presented in the field of behavioural economy) where clearly visible. This paper aims to measure the scope of the influence of the New York Stock Exchange and Nasdaq on Frankfurt Stock Exchange. As such it is an extension to the analysis of Sajter and Ćorić (2008) who examined the impact of American stock markets on Croatian stock market during the beginning of the crisis. Autoregressive Integrated Moving Average (ARIMA) models are generalizations of the simple autoregressive model that use several tools for modelling the serial correlation in the disturbance. The basic version of the Ordinary Least Squares (OLS) model applies the assumption of homoskedasticity. Unlike OLS models Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models embrace heteroskedasticity as informative ; they treat it as fundamental to the underlying process and a phenomenon that one would want to include and to model, not to correct. ARIMA and GARCH models were applied in order to analyze the impact of the S&P500 index on DAX index, using different time-spans of the data (10- year observation period: 1999 - 2009) to monitor the inflow of the late 2000s financial crisis from the USA to Germany, and the overall impact of the transatlantic markets.

ARIMA; GARCH; NYSE; Nasdaq; Deutsche boerse; S&P500; DAX; Dow Jones

Jubilarni, trideseti znanstveni simpozij, održan 5. i 6. studenog 2009. u Pforzheimu, Njemačka.