The Euro and Stock Markets in Hungary, Poland, and UK
AbstractThis paper aims to empirically investigate the effect of the euro on stock markets for Hungary, Poland and the UK, and also the co-movement of the stock prices with the euro-zone using the daily stock price indices. The result reveals that in order to develop the emerging stock markets, exchange rates should appreciate for Hungary, whereas they should depreciate for Poland. Furthermore, evidence of cointegration between the relative stock prices against Germany and exchange rates suggests that participating in the European Monetary Union may, ceteris paribus, stabilise the stock markets for these non-euro member states.
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Bibliographic InfoArticle provided by Center for Economic Integration, Sejong University in its journal Journal of Economic Integration.
Volume (Year): 22 (2007)
Issue (Month): ()
Stock prices; Exchange rates; Cointegration; Poland; Hungary; UK; GARCH;
Find related papers by JEL classification:
- F02 - International Economics - - General - - - International Economic Order; Noneconomic International Organizations;; Economic Integration and Globalization: General
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G30 - Financial Economics - - Corporate Finance and Governance - - - General
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- Moore, Tomoe & Wang, Ping, 2007. "Volatility in stock returns for new EU member states: Markov regime switching model," International Review of Financial Analysis, Elsevier, vol. 16(3), pages 282-292.
- Wang, Ping & Moore, Tomoe, 2009. "Sudden changes in volatility: The case of five central European stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 33-46, February.
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