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International Stock Market Integration: Central and South Eastern Europe Compared

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  • Roman Horvath

    ()

  • Dragan Petrovski

Abstract

We examine the international stock market comovements between Western Europe vis-à-vis Central (the Czech Republic, Hungary and Poland) and South Eastern Europe (Croatia, Macedonia and Serbia) using multivariate GARCH models in 2006-2011. Comparing these two groups, we find that the degree of comovements is much higher for Central Europe. The correlation of South Eastern European stock markets with developed markets is essentially zero. The exemption to this regularity is Croatia with its stock market displaying a greater degree of integration towards Western Europe recently, but still below the levels typical for Central Europe. All stock markets fall strongly at the beginning of the global financial crisis and we do not find that the crisis altered the degree of stock market integration between this group of countries.

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Bibliographic Info

Paper provided by William Davidson Institute at the University of Michigan in its series William Davidson Institute Working Papers Series with number wp1028.

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Length: pages
Date of creation: 01 Feb 2012
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Handle: RePEc:wdi:papers:2012-1028

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Keywords: stock market comovements; Central and South Eastern Europe; GARCH;

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Citations

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Cited by:
  1. Baumohl, Eduard & Lyocsa, Stefan, 2013. "Volatility and dynamic conditional correlations of European emerging stock markets," MPRA Paper 49898, University Library of Munich, Germany.
  2. Tomas Fiala & Tomas Havranek, 2014. "Ailing Mothers, Healthy Daughters? Contagion in the Central European Banking Sector," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan wp1069, William Davidson Institute at the University of Michigan.
  3. Krenar Avdulaj & Jozef Barunik, 2013. "Can we still benefit from international diversification? The case of the Czech and German stock markets," Papers 1308.6120, arXiv.org, revised Sep 2013.
  4. Gjika, Dritan & Horváth, Roman, 2013. "Stock market comovements in Central Europe: Evidence from the asymmetric DCC model," Economic Modelling, Elsevier, Elsevier, vol. 33(C), pages 55-64.
  5. P., Srinivasan & M., Kalaivani, 2013. "Stock Market Linkages in Emerging Asia-Pacific Markets," MPRA Paper 45871, University Library of Munich, Germany.
  6. Baumöhl, Eduard, 2013. "Stock market integration between the CEE-4 and the G7 markets: Asymmetric DCC and smooth transition approach," MPRA Paper 43834, University Library of Munich, Germany.
  7. Dritan Gjika & Roman Horváth, 2012. "Stock Market Comovements in Central Europe: Evidence from Asymmetric DCC Model," Working Papers, Institut für Ost- und Südosteuropaforschung (Institute for East and South-East European Studies) 322, Institut für Ost- und Südosteuropaforschung (Institute for East and South-East European Studies).
  8. Abu Bakar, Norhidayah & Masih, Abul Mansur M., 2014. "The Dynamic Linkages between Islamic Index and the Major Stock Markets: New Evidence from Wavelet time-scale decomposition Analysis," MPRA Paper 56977, University Library of Munich, Germany.
  9. Baumöhl, Eduard & Lyócsa, Štefan, 2014. "Volatility and dynamic conditional correlations of worldwide emerging and frontier markets," Economic Modelling, Elsevier, Elsevier, vol. 38(C), pages 175-183.
  10. Nikola Gradojević & Eldin Dobardžić, 2013. "Causality between Regional Stock Markets: A Frequency Domain Approach," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 60(5), pages 633-647, September.
  11. Dragan Tevdovski, 2014. "Extreme negative coexceedances in South Eastern European stock markets," CREATES Research Papers 2014-18, School of Economics and Management, University of Aarhus.

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