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Interdependence of Nordic and Baltic Stock Markets

Author

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  • Ulf Nielsson

    (Columbia University, Department of Economics)

Abstract

The interdependence of the Nordic and Baltic stock markets is explored in lightof increased merger activity of stock exchanges over the sample period, 1996–2006. Theresults show surprisingly little interdependence between the Nordic and Baltic stock indices.In the short run, the response of each market to a shock in another is insignificant.In the longer term there is limited evidence of integration and only weak indication ofconvergence within the sample period. The stock markets seem no more integrated thanthey were at the outset of recent merger activity, suggesting that the levels of cooperationbetween the Nordic and Baltic exchanges have not been deep enough to produce increasedinterdependence.

Suggested Citation

  • Ulf Nielsson, 2007. "Interdependence of Nordic and Baltic Stock Markets," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 6(2), pages 9-28, January.
    • Handle: RePEc:bic:journl:v:6:y:2007:i:2:p:9-28
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    File URL: https://www.tandfonline.com/doi/epdf/10.1080/1406099X.2007.10840434
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    References listed on IDEAS

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    2. Jasmina Ðuraškovic & Slavica Manic & Dejan Živkov, 2019. "Multiscale Volatility Transmission and Portfolio Construction Between the Baltic Stock Markets," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 69(2), pages 211-235, April.
    3. Ahmad, Nasir & Rehman, Mobeen Ur & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Does inter-region portfolio diversification pay more than the international diversification?," The Quarterly Review of Economics and Finance, Elsevier, vol. 83(C), pages 26-35.
    4. Gil-Alana, Luis A. & Gupta, Rangan & Shittu, Olanrewaju I. & Yaya, OlaOluwa S., 2018. "Market efficiency of Baltic stock markets: A fractional integration approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 511(C), pages 251-262.
    5. Kurt Brannas & Albina Soultanaeva, 2011. "Influence of news from Moscow and New York on returns and risks of Baltic States’ stock markets," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 11(1), pages 109-124, July.
    6. Nikola Radivojević & Nikola V. Ćurčić & Djurdjica Dj. Vukajlović, 2017. "Hull-White’s value at risk model: case study of Baltic equities market," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 18(5), pages 1023-1041, September.
    7. Anil Sharma & Neha Seth, 2012. "Literature review of stock market integration: a global perspective," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 4(1), pages 84-122, April.
    8. Wojciech Grabowski, 2019. "Givers or Recipients? Co-Movements between Stock Markets of CEE-3 and Developed Countries," Sustainability, MDPI, vol. 11(22), pages 1-24, November.

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    More about this item

    Keywords

    Interdependence; integration; convergence; stock exchange merger; stock markets;
    All these keywords.

    JEL classification:

    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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