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Econometric Analysis of Integration of Selected New EU Member CEE Stock Markets With Global Stock Market and Eurozone: Impact of Global Financial Crisis

Author

Listed:
  • Jan Suchacek

    (Masaryk University, Brno, Czech Republic)

  • Jaroslav Koutsky

    (Jan Evangelista Purkyne University in Ustí nad Labem, Ustí nad Labem, Czech Republic)

  • Lorena Caridad Lopez del Río

    (University of Córdoba, Córdoba, Spain)

  • Petr Seïa

    (VSB – Technical University of Ostrava, Ostrava, Czech Republic)

Abstract

The period of the global financial crisis can be characterized by the spillover of negative innovations among stock markets worldwide. Stock markets in Central Europe were not excluded as they are not isolated from global stock markets. Recently published scientific studies dealing with this theme were mainly focused on the integration of the new EU members´ stock markets with the eurozone only. Hence, this paper aims to investigate, compare and interpret integration among stock markets of selected new EU member states in Central Europe (the Czech Republic, Hungary, and Poland), the global stock market and the eurozone equity market within 2004-2018. The added value of this article consists especially in using a wider spectrum of econometric tools (cointegration, VAR model, Granger causality, variance decomposition) and comparison of changes of mutual relationships in three different testing sub-periods to study the dynamics in time. Our research is accomplished via usage of data on daily frequency. Delivered results showed that the degree of integration of Central European stock markets with the US stock market and eurozone significantly increased during global financial crisis. Moreover, stock markets in Central Europe are more integrated with the global stock market than the euro area.

Suggested Citation

  • Jan Suchacek & Jaroslav Koutsky & Lorena Caridad Lopez del Río & Petr Seïa, 2021. "Econometric Analysis of Integration of Selected New EU Member CEE Stock Markets With Global Stock Market and Eurozone: Impact of Global Financial Crisis," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 23(58), pages 824-824, August.
    • Handle: RePEc:aes:amfeco:v:23:y:2021:i:58:p:824
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    References listed on IDEAS

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    More about this item

    Keywords

    global financial crisis; Granger causality; integration; stock market; VAR model; variance decomposition.;
    All these keywords.

    JEL classification:

    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies

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