The International Integration of the Eastern Europe and two Middle East Stock Markets
AbstractThis article studies the international integration of twelve Eastern Europe Stock Markets and two Middle East Stock Markets. It is commonly accepted that the returns in these markets have a low correlation with the other markets, which means that they are still weakly integrated in the world financial market. This assumption is the object of the empirical analysis in the present article, in which the co-integration of each of these national stock markets with the international market is estimated. Co-integration is a well adapted methodology to study the international integration of stock markets, since it puts in evidence, simultaneously, the long-term relation between the stock prices of a domestic market and those representing the international market and the short-term relation between the changes in those prices. The results obtained show that, in general, these stock markets are co-integrated with one or more international indexes.
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Bibliographic InfoPaper provided by GEMF - Faculdade de Economia, Universidade de Coimbra in its series GEMF Working Papers with number 2013-01.
Length: 21 pages
Date of creation: Dec 2012
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financial integration; stock markets; structure breaks.;
Find related papers by JEL classification:
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-01-19 (All new papers)
- NEP-ARA-2013-01-19 (MENA - Middle East & North Africa)
- NEP-FMK-2013-01-19 (Financial Markets)
- NEP-TRA-2013-01-19 (Transition Economics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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