Cointegration and conditional correlations among German and Eastern Europe equity markets
AbstractThis paper aims to examine the long term relationship between German and three Central and Eastern Europe (CEE) equity markets. Application of Johansen as well as Engle-Granger cointegration tests show that there is no long-term relationship among these markets while the Gregory-Hansen cointegration test rejects the null hypothesis of no cointegration with structural break. An additional objective is to capture the time-varying correlation among these markets through the dynamic conditional correlation models. Empirical results suggest that correlations increased after the accession of the CEE countries into the European Union.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 21732.
Date of creation: Jan 2010
Date of revision:
Equity markets; Cointegration; Dynamic conditional correlation models.;
Find related papers by JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-04-04 (All new papers)
- NEP-FMK-2010-04-04 (Financial Markets)
- NEP-IFN-2010-04-04 (International Finance)
- NEP-TRA-2010-04-04 (Transition Economics)
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