Horobet, Alexandra () (Academy of Economic Studies Bucharest, Faculty of International Business and Economics) Lupu, Radu () (Academy of Economic Studies Bucharest, Faculty of International Business and Economics)
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Central and Eastern European (CEE) stock markets have gradually attracted international investors’ attention after 1990, and their integration into the European capital market will lead to increased maturity of these markets, accompanied by higher attractiveness to international investors. The paper analyses the stock markets of five emerging countries from the CEE region – the Czech Republic, Hungary, Poland, Romania and the Russian Federation – as against four major European Union markets – Austria, France, Germany and the United Kingdom – over the 2003-2007 period and aims at identifying the speed and significance of information transmission among them, as embedded in stock market returns. By employing co-integration and Granger causality tests with different data frequencies, we investigate the long- and short-run relationships among these markets and interpret the findings in the context of international capital market integration.
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Find related papers by JEL classification: F15 - International Economics - - Trade - - - Economic Integration F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements G15 - Financial Economics - - General Financial Markets - - - International Financial Markets G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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