The Degree of the Polish and Slovak equity market integration with the euro area equity market
AbstractThe aim of this paper is to outline results of investigations into the degree of the Polish and Slovak equity market integration with the euro area equity market. In investigations was used monthly data from the 1999:01-2011:12 period concerning the yield performance of the following indices: WIG, DJ EUROSTOXX, DOW JONES COMPOSITE AVERAGE and SAX. The model of the “increased impact of the common information component on equity market yields” estimated by means of GARCH (1,1) was used as a measure of the equity market integration. In the period from 1999 to 2009, the Polish equity market was more integrated with the global market than with the euro area equity market. On the other hand, the Slovak equity market was more integrated with the global market in the 1999-2004 period whereas in the years 2005-2011 its higher integration degree with the euro area equity market was noted accompanied by a low integration degree with the global market.
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Bibliographic InfoPaper provided by Università di Perugia, Dipartimento Economia, Finanza e Statistica in its series Quaderni del Dipartimento di Economia, Finanza e Statistica with number 115/2013.
Length: 15 pages
Date of creation: 28 Jan 2013
Date of revision:
stock exchange; degree of equity market integration; yield; price- based measures; news-based measures; ratio of variance;
Find related papers by JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G19 - Financial Economics - - General Financial Markets - - - Other
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-03-09 (All new papers)
- NEP-EEC-2013-03-09 (European Economics)
- NEP-FMK-2013-03-09 (Financial Markets)
- NEP-TRA-2013-03-09 (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.:
- Mills,Terence C. & Markellos,Raphael N., 2008. "The Econometric Modelling of Financial Time Series," Cambridge Books, Cambridge University Press, number 9780521710091.
- Markus Baltzer & Lorenzo Cappiello & Roberto A. De Santis & Simone Manganelli, 2008. "Measuring financial integration in new EU member states," Occasional Paper Series 81, European Central Bank.
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