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Conditional Correlation on CEE Stock Markets

Author

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  • Kralik Lóránd István

    (Partium Christian University of Oradea)

Abstract

An investigation into the stock market convergence of Czech Republic, Hungary, Slovakia and Romania reveals that capital market correlation level has strongly increased after the EU accession. The present study evaluates stock market co-movements in Czech Republic, Hungary, Slovakia and Romania on the basis of multivariate generalized autoregressive conditional heteroscedasticity models. The diagonal BEKK model is also employed in analyzing the convergence of the selected countries’ stock markets with those existing in the developed countries; the analysis encompassed the 2002-2012 timeframe. The empirical results indicate that the correlation of the four CEE stock markets are strongly influenced by two factors: their accession to the EU and the 2007-2008 financial crisis.

Suggested Citation

  • Kralik Lóránd István, 2018. "Conditional Correlation on CEE Stock Markets," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 130-136, December.
    • Handle: RePEc:ovi:oviste:v:xviii:y:2018:i:2:p:130-136
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    References listed on IDEAS

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    More about this item

    Keywords

    stock index returns; multivariate GARCH; conditional correlation; diagonal BEKK; financial crises;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G01 - Financial Economics - - General - - - Financial Crises

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