The Interdependence of the Stock Markets of Slovenia, The Czech Republic and Hungary with Some Developed European Stock Markets – The Effects of Joining the European Union and the Global Financial Crisis
AbstractThis article examines how the interdependence of three Central and Eastern European (CEE) stock markets, represented by the stock indices LJSEX (Slovenia), PX (Czech Republic) and BUX (Hungary), and some developed European stock markets (Austria, represented by the ATX; France, represented by the CAC40; Germany, represented by the DAX; and Great Britain, represented by the FTSE100) has evolved in the period from April 1997 to May 2010. We have divided the total observation period into three sub-periods: the period before the three CEE countries joined the European Union, the period from European Union membership until the start of the global financial crisis, and the period after the global financial crisis began. A non-conditional correlation analysis and linear and nonlinear Granger causality tests were applied on the daily return series. The results showed that interdependence increased from the first to the third sub-period, and that the CEE stock markets have been less correlated than developed stock markets. Granger causality tests have revealed the existence of numerous statistically significant stock market return spillovers, which changed between the investigated sub-periods.
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Bibliographic InfoArticle provided by Institute for Economic Forecasting in its journal Romanian Journal for Economic Forecasting.
Volume (Year): (2012)
Issue (Month): 4 (December)
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stock markets; European Union; global financial crisis; stock market return comovement; correlation; Granger causality;
Find related papers by JEL classification:
- F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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