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Revisiting stock market integration in Central and Eastern European stock markets with a dynamic analysis

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  • Oussama Tilfani
  • Paulo Ferreira
  • My Youssef El Boukfaoui

Abstract

Considering the importance of continuously analysing stock market integration, and based on an earlier study, this paper adopts a sliding windows approach, jointly with the Detrended Cross-Correlation Analysis correlation coefficient, in order to assess the evolution of integration in Central and Eastern European stock markets. With this approach, we are able to analyse stock market integration in a dynamic way. Our results show that the stock markets of the Czech Republic, Hungary, Croatia, Poland and Romania are most integrated, while those of Bosnia, Montenegro, Serbia and Slovakia are less so. Moreover, we found that during crises, levels of integration increased, while the Brexit referendum seems to have had the contrary effect on markets. This is important information for investors, for example, when wanting to build portfolios, but also for authorities, for whom the information about correlations could be important in detecting potential price crashes.

Suggested Citation

  • Oussama Tilfani & Paulo Ferreira & My Youssef El Boukfaoui, 2020. "Revisiting stock market integration in Central and Eastern European stock markets with a dynamic analysis," Post-Communist Economies, Taylor & Francis Journals, vol. 32(5), pages 643-674, July.
    • Handle: RePEc:taf:pocoec:v:32:y:2020:i:5:p:643-674
    DOI: 10.1080/14631377.2019.1678099
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    Cited by:

    1. Rehman, Mobeen Ur & Ahmad, Nasir & Shahzad, Syed Jawad Hussain & Vo, Xuan Vinh, 2022. "Dependence dynamics of stock markets during COVID-19," Emerging Markets Review, Elsevier, vol. 51(PB).
    2. Carausu Dumitru-Nicusor & Lupu Dan, 2022. "COVID-19 and stock markets comovement in emerging Europe," Proceedings of the International Conference on Business Excellence, Sciendo, vol. 16(1), pages 660-669, August.
    3. Oussama Tilfani & Paulo Ferreira & Andreia Dionisio & My Youssef El Boukfaoui, 2020. "EU Stock Markets vs. Germany, UK and US: Analysis of Dynamic Comovements Using Time-Varying DCCA Correlation Coefficients," JRFM, MDPI, vol. 13(5), pages 1-23, May.
    4. Elena Valentina Tilica, 2021. "Domestic and Foreign Transmission of the Global Financial Crisis in the Real Economy. The Polish Situation," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 13(1), pages 47-60, June.
    5. Derick David Quintino & Heloisa Lee Burnquist & Paulo Jorge Silveira Ferreira, 2021. "Carbon Emissions and Brazilian Ethanol Prices: Are They Correlated? An Econophysics Study," Sustainability, MDPI, vol. 13(22), pages 1-18, November.

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