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The Comovements of Stock Markets in Hungary, Poland and the Czech Republic

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  • Scheicher, Martin

Abstract

In this paper, we study the regional and global integration of stock markets in Hungary, Poland and the Czech Republic. We estimate a vector autoregression with a multivariate GARCH component and perform a variety of diagnostic tests. Our main empirical result is the existence of limited interaction: in returns we identify both regional and global shocks, but innovations to volatility have a primarily regional character. We document low correlations to international markets and discuss the economic significance of the inter-market dynamics. Copyright @ 2001 by John Wiley & Sons, Ltd. All rights reserved.

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  • Scheicher, Martin, 2001. "The Comovements of Stock Markets in Hungary, Poland and the Czech Republic," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 6(1), pages 27-39, January.
    • Handle: RePEc:ijf:ijfiec:v:6:y:2001:i:1:p:27-39
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