Abstract:

The subject of the article is related to the development of interdependence on selected capital markets in Europe. Currently, a systematic development of globalization processes is being observed, which translates into the existence of strong connections between capital markets in the world. The problem of analyzing interdependencies on capital markets is significant due to the possibilities of transferring risk from financial markets to other markets of individual countries, which may result in a significant limitation of their functioning or even the collapse of national financial system or the whole economies. This means that the phenomenon of interdependence between financial markets becomes a significant determinant of the effectiveness of the national economic policy. The aim of the article is to identify the strength of dependence of the Hungarian capital market on the main capital markets in Europe. The analysis covers the interdependencies with the UK capital market, which is the biggest market in Europe and with the capital market of Germany, which can be considered as the leading capital market for continental Europe and important financial canter for Central and Eastern European economies. The development of interdependencies between capital markets was studied in 1998-2019, where the DCC-GARCH model was used as the main analytical tool. As a result of the research, the similarity in the development of the interdependence between the Hungarian capital market and the markets of Great Britain and Germany was established.