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Interdependence between Eastern and Western European stock markets: Evidence from intraday data

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  • Egert, Balazs
  • Kocenda, Evzen

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Bibliographic Info

Article provided by Elsevier in its journal Economic Systems.

Volume (Year): 31 (2007)
Issue (Month): 2 (June)
Pages: 184-203

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Handle: RePEc:eee:ecosys:v:31:y:2007:i:2:p:184-203

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  1. Serwa, Dobromil & Bohl, Martin T., 2005. "Financial contagion vulnerability and resistance: A comparison of European stock markets," Economic Systems, Elsevier, Elsevier, vol. 29(3), pages 344-362, September.
  2. Bohl, Martin T. & Henke, Harald, 2003. "Trading volume and stock market volatility: The Polish case," International Review of Financial Analysis, Elsevier, Elsevier, vol. 12(5), pages 513-525.
  3. James H. Stock & Mark W. Watson, 1991. "A simple estimator of cointegrating vectors in higher order integrated systems," Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago 91-3, Federal Reserve Bank of Chicago.
  4. Kristin Forbes & Roberto Rigobon, 1999. "No Contagion, Only Interdependence: Measuring Stock Market Co-movements," NBER Working Papers 7267, National Bureau of Economic Research, Inc.
  5. M. Hashem Pesaran & Yongcheol Shin & Richard J. Smith, 2001. "Bounds testing approaches to the analysis of level relationships," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 16(3), pages 289-326.
  6. Fan, Yu-Ju & Lai, Hung-Neng, 2006. "The intraday effect and the extension of trading hours for Taiwanese securities," International Review of Financial Analysis, Elsevier, Elsevier, vol. 15(4-5), pages 328-347.
  7. Gilmore, Claire G. & McManus, Ginette M., 2002. "International portfolio diversification: US and Central European equity markets," Emerging Markets Review, Elsevier, Elsevier, vol. 3(1), pages 69-83, March.
  8. Theodore Syriopoulos, 2004. "International portfolio diversification to Central European stock markets," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 14(17), pages 1253-1268.
  9. Tse, Yiuman & Wu, Chunchi & Young, Allan, 2003. "Asymmetric information transmission between a transition economy and the U.S. market: evidence from the Warsaw Stock Exchange," Global Finance Journal, Elsevier, vol. 14(3), pages 319-332, December.
  10. Janakiramanan, Sundaram & Lamba, Asjeet S., 1998. "An empirical examination of linkages between Pacific-Basin stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 8(2), pages 155-173, June.
  11. Hamao, Yasushi & Masulis, Ronald W & Ng, Victor, 1990. "Correlations in Price Changes and Volatility across International Stock Markets," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 3(2), pages 281-307.
  12. Gamini Premaratne & Lakshmi Bala, 2004. "Stock Market Volatility: Examining North America, Europe and Asia," Econometric Society 2004 Far Eastern Meetings, Econometric Society 479, Econometric Society.
  13. Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, Elsevier, vol. 66(1-2), pages 225-250.
  14. Voronkova, Svitlana, 2004. "Equity market integration in Central European emerging markets: A cointegration analysis with shifting regimes," International Review of Financial Analysis, Elsevier, Elsevier, vol. 13(5), pages 633-647.
  15. Scheicher, Martin, 2001. "The Comovements of Stock Markets in Hungary, Poland and the Czech Republic," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 6(1), pages 27-39, January.
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