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Integration Between the Baltic and International Stock Markets

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  • Per-Ola Maneschiöld

Abstract

Using cointegration tests, this paper analyzes the existence of long-run relationships among Baltic stock markets and major international stock markets, including the United States, Japan, Germany, the United Kingdom, and France. Bivariate and multivariate cointegration tests indicate a common trend linking Latvia to European markets. Evidence indicates that the German market dominates this long-run relationship. In general, short-term Granger causality indicates causality running from the European markets to the Baltic markets, as well as among the Baltic states, excepting Latvian and Lithuanian short-term effects on the Estonian market. Overall, the results suggest that international investors can obtain diversification benefits given a long-term investment horizon because of the low degree of integration between the Baltic and international capital markets.

Suggested Citation

  • Per-Ola Maneschiöld, 2006. "Integration Between the Baltic and International Stock Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 42(6), pages 25-45, December.
    • Handle: RePEc:mes:emfitr:v:42:y:2006:i:6:p:25-45
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    Cited by:

    1. Dibooglu, Sel & AlGudhea, Salim N., 2007. "All time cheaters versus cheaters in distress: An examination of cheating and oil prices in OPEC," Economic Systems, Elsevier, vol. 31(3), pages 292-310, September.
    2. 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.

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