Stock Market Integration Between Three CEECs
AbstractThis paper estimates a trivariate VAR-GARCH(1,1) model to examine volatility linkages between the stock markets of three Central and Eastern European countries (CEECs), namely the Czech Republic, Hungary and Poland. The empirical .findings suggest that following the EU accession regional linkages have become even stronger, and that therefore portfolio diversification within the region has become an even less effective investment strategy. This can be plausibly interpreted as reflecting deeper integration with the "old" EU economies, and has important implications for appropriate policy responses to shocks originating in those countries and affecting the .financial stability of the CEECs.
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Bibliographic InfoArticle provided by Center for Economic Integration, Sejong University in its journal Journal of Economic Integration.
Volume (Year): 27 (2012)
Issue (Month): ()
Central and Eastern European Countries (CEECs); Volatility Spillovers; VAR-GARCH Model;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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