Stock Market Integration For The Transition Economies: Time-Varying Conditional Correlation Approach
AbstractIn this paper, we investigate the extent to which the three emerging Central Eastern European stock markets have become integrated with the aggregate eurozone market over the sample period from 1994 to 2006 by utilizing the dynamic conditional correlation. We find a higher level of the stock market correlation during the period after the Asian and Russian crises and also during the post-entry period to the European Union. It is found that financial market integration seems to be a largely self-fuelling process, depending on existing levels of financial sector development for the Czech Republic and Hungary. Copyright � 2008 The Authors. Journal compilation � 2008 Blackwell Publishing Ltd and The University of Manchester.
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Bibliographic InfoArticle provided by University of Manchester in its journal Manchester School.
Volume (Year): 76 (2008)
Issue (Month): s1 (09)
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- Dritan Gjika & Roman Horvath, 2012.
"Stock Market Comovements in Central Europe: Evidence from Asymmetric DCC Model,"
William Davidson Institute Working Papers Series
wp1035, William Davidson Institute at the University of Michigan.
- Dritan Gjika & Roman Horváth, 2012. "Stock Market Comovements in Central Europe: Evidence from Asymmetric DCC Model," Working Papers 322, Institut für Ost- und Südosteuropaforschung (Institute for East and South-East European Studies).
- Syllignakis, Manolis N. & Kouretas, Georgios P., 2011. "Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 717-732, October.
- Demian, Calin-Vlad, 2011. "Cointegration in Central and East European markets in light of EU accession," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(1), pages 144-155, February.
- Eduard Baumöhl & Mária Farkašovská & Tomáš Výrost, 2010. "Stock Market Integration: DCC MV-GARCH Model," Politická ekonomie, University of Economics, Prague, vol. 2010(4), pages 488-503.
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