Advanced Search
MyIDEAS: Login

Statistical Properties of the CEE Stock Market Dynamics. A Panel Data Analysis

Contents:

Author Info

  • Barry Harrison

    ()
    (Nottingham Business School, Nottingham Trent University)

  • Radu Lupu

    ()
    (Bucharest Academy of Economic Studies, Romania)

  • Iulia Lupu

    ()
    (“Victor Slavescu” Center for Financial and Monetary Research, Romanian Academy of Science)

Abstract

The importance of Central and Eastern European (CEE) stock markets grew after 1990 as they were gradually used as diversification instruments for the foreign investors as well as due to the general expectation of their integration within the European capital market. This development generated an increasing body of literature issued with the aim to analyze the properties of these markets both in terms of performance and integration on one hand and diversification and risk management on the other hand. The paper focuses on the stock market indices of ten emerging countries from the CEE region – Slovenia, Slovak Republic, Estonia, Latvia, Lithuania, Bulgaria, Czech Republic, Romania, Hungary and Poland –over the 1994-2006 period and aims at identifying the properties of their dynamics in a panel data analysis. We found evidence of stationarity for the returns of these indices and identified some common characteristics of these markets taken as a whole.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.rejournal.eu/sites/rejournal.versatech.ro/files/articole/2010-09-01/2121/je37-harrisonlupu.pdf
Download Restriction: no

Bibliographic Info

Article provided by Department of International Business and Economics from the Academy of Economic Studies Bucharest in its journal Romanian Economic Journal.

Volume (Year): 13 (2010)
Issue (Month): 37 (September)
Pages: 41-54

as in new window
Handle: RePEc:rej:journl:v:13:y:2010:i:37:p:41-54

Contact details of provider:
Postal: 6 ROMANA PLACE, 70167 - BUCHAREST
Phone: 0040-01-2112650
Fax: 0040-01-3129549
Email:
Web page: http://www.rei.ase.ro/
More information through EDIRC

Related research

Keywords: Nonlinearities; Stock Markets; Central and Eastern European Countries;

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:rej:journl:v:13:y:2010:i:37:p:41-54. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Radu Lupu).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.