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Integration Of Smaller European Equity Markets : A Time-Varying Integration Score Analysis

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  • Gregory Birg
  • Brian M. Lucey

Abstract

The objective of this paper is to study capital market integration in smaller european countries and its implications for an international portfolio investment allocation. A time-varying analysis based on Barari (2004) suggests that the markets have recently started moving towards international financial integration. Results vary from country to country and sample countries can be broken down into distinctive groups according to their recent integration score performance: a) countries which are becoming increasingly integrated with both regional European and international equity markets (Estonia, Hungary, Czech Republic, Lithuania, Poland) b) countries which have becoming increasingly integrated with the regional market, while growing segmented with the world market (Latvia, Slovakia, Slovenia). This is an encouraging indicator in that none of the countries have been growing segmented from the European equity markets since the EU accession.

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Bibliographic Info

Paper provided by IIIS in its series The Institute for International Integration Studies Discussion Paper Series with number iiisdp136.

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Date of creation: 23 May 2006
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Handle: RePEc:iis:dispap:iiisdp136

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Keywords: Stock Market Integration; Portfolio Diversification; Smaller European markets; Time-varying methods.;

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References

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Cited by:
  1. Hsing, Yu, 2009. "Responses of Output to Declining Stock Values and Real Depreciation in Lituania," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 62(4), pages 429-437.

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