Global Integration of Central and Eastern European Financial Markets—The Role of Economic Sentiments
This paper examines the importance of different economic sentiments, e.g. consumer moods, for the Central and Eastern European countries (CEECs) during the transition process. We first analyze the importance of economic confidence with respect to the CEEC's financial markets. Since the integration of formerly strongly regulated markets into global markets can also lead to an increase of the dependence of the CEECs' domestic market performance from global sentiments, we also investigate the relationship between global economic sentiments and domestic income and share prices. Finally, we test whether the impact of global sentiments and stock prices on domestic variables increases proportionally with the degree of integration. For these purposes, we apply a structural cointegrating VAR (CVAR) framework based upon a restricted autoregressive model which allows us to distinguish between the long-run and the short-run dynamics. For the long run we find evidence supporting relationships between sentiments, income and share prices in case of the Czech Republic. Our results for the short run suggest that economic sentiments in general are strongly influenced by share prices and income but also offer some predictive power with respect to the latter. What is more, global sentiments play an important role in particular for the CEECs' share prices and income. The significance of this link increases with economic integration.
(This abstract was borrowed from another version of this item.)
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Volume (Year): 19 (2011)
Issue (Month): 1 (02)
|Contact details of provider:|| Web page: http://www.blackwellpublishing.com/journal.asp?ref=0965-7576|
|Order Information:||Web: http://www.blackwellpublishing.com/subs.asp?ref=0965-7576|
References listed on IDEAS
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.:
- Moritz Schularick & Thomas Steger, 2006.
"Does Financial Integration Spur EconomicGrowth? New Evidence from the First Era of Financial Globalization,"
CESifo Working Paper Series
1691, CESifo Group Munich.
- Moritz Schularick & Thomas M. Steger, 2006. "Does Financial Integration Spur Economic Growth? New Evidence from the First Era of Financial Globalization," CER-ETH Economics working paper series 06/46, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
- Jason Bram & Sydney Ludvigson, 1998.
"Does consumer confidence forecast household expenditure? a sentiment index horse race,"
Economic Policy Review,
Federal Reserve Bank of New York, issue Jun, pages 59-78.
- Jason Bram & Sydney Ludvigson, 1997. "Does consumer confidence forecast household expenditure?: A sentiment index horse race," Research Paper 9708, Federal Reserve Bank of New York.
- W. Jos Jansen & Niek J. Nahuis, 2004.
"Which survey indicators are useful for monitoring consumption? Evidence from European countries,"
Journal of Forecasting,
John Wiley & Sons, Ltd., vol. 23(2), pages 89-98.
- Niek J. Nahuis & W. Jos Jansen, 2003. "Which Survey Indicators Are Useful for Monitoring Consumption? Evidence fron European Countries," Macroeconomics 0309013, EconWPA.
- Schmeling, Maik, 2008.
"Investor sentiment and stock returns: Some international evidence,"
Hannover Economic Papers (HEP)
dp-407, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Schmeling, Maik, 2009. "Investor sentiment and stock returns: Some international evidence," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 394-408, June.
- Carroll, Christopher D & Fuhrer, Jeffrey C & Wilcox, David W, 1994.
"Does Consumer Sentiment Forecast Household Spending? If So, Why?,"
American Economic Review,
American Economic Association, vol. 84(5), pages 1397-1408, December.
- Christopher D. Carroll & Jeffery C. Fuhrer & David W. Wilcox, 1994. "RATS code for Does Consumer Sentiment Forecast Household Spending? If So, Why?," QM&RBC Codes 49, Quantitative Macroeconomics & Real Business Cycles.
- Ali Al-Eyd & Ray Barrell & E. Philip Davis, 2009.
"Consumer Confidence Indices And Short-Term Forecasting Of Consumption,"
University of Manchester, vol. 77(1), pages 96-111, 01.
- Ray Barrell & Professor E. Philip Davis, 2008. "Consumer Confidence Indices And Short-Term Forecasting Of Consumption," NIESR Discussion Papers 1779, National Institute of Economic and Social Research.
- Daron Acemoglu & Andrew Scott, 1993.
"Consumer Confidence and Rational Expectations: Are Agents Beliefs Consistent with the Theory?,"
CEP Discussion Papers
dp0119, Centre for Economic Performance, LSE.
- Acemoglu, Daron & Scott, Andrew, 1994. "Consumer Confidence and Rational Expectations: Are Agents' Beliefs Consistent with the Theory?," Economic Journal, Royal Economic Society, vol. 104(422), pages 1-19, January.
- Michael Lemmon & Evgenia Portniaguina, 2006. "Consumer Confidence and Asset Prices: Some Empirical Evidence," Review of Financial Studies, Society for Financial Studies, vol. 19(4), pages 1499-1529.
- E. Philip Howrey, 2001. "The Predictive Power of the Index of Consumer Sentiment," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 32(1), pages 175-216.
- Matsusaka, John G & Sbordone, Argia M, 1995.
"Consumer Confidence and Economic Fluctuations,"
Western Economic Association International, vol. 33(2), pages 296-318, April.
- Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang, 2009.
"International Stock Return Comovements,"
Journal of Finance,
American Finance Association, vol. 64(6), pages 2591-2626, December.
- Bekaert, Geert & Hodrick, Robert J & Zhang, Xiaoyan, 2006. "International Stock Return Comovements," CEPR Discussion Papers 5955, C.E.P.R. Discussion Papers.
- Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang, 2005. "International Stock Return Comovements," NBER Working Papers 11906, National Bureau of Economic Research, Inc.
- Bekaert, Geert & Hodrick, Robert J. & Zhang, Xiaoyan, 2008. "International stock return comovements," Working Paper Series 0931, European Central Bank.
- Bekaert, Geert & Hodrick, Robert J. & Zhang, Xiaoyan, 2005. "International Stock Return Comovements," Working Papers 06-3, University of Pennsylvania, Wharton School, Weiss Center.
- Sydney C. Ludvigson, 2004. "Consumer Confidence and Consumer Spending," Journal of Economic Perspectives, American Economic Association, vol. 18(2), pages 29-50, Spring.
- G. Andrew Karolyi, 2004.
"Does International Financial Contagion Really Exist?,"
Journal of Applied Corporate Finance,
Morgan Stanley, vol. 16(2-3), pages 136-146.
- Karolyi, G Andrew, 2003. "Does International Financial Contagion Really Exist?," International Finance, Wiley Blackwell, vol. 6(2), pages 179-99, Summer.
- Malcolm Baker & Jeffrey Wurgler, 2007.
"Investor Sentiment in the Stock Market,"
Journal of Economic Perspectives,
American Economic Association, vol. 21(2), pages 129-152, Spring.
- Malcolm Baker & Jeffrey Wurgler, 2006.
"Investor Sentiment and the Cross-Section of Stock Returns,"
Journal of Finance,
American Finance Association, vol. 61(4), pages 1645-1680, 08.
- Malcolm Baker & Jeffrey Wurgler, 2004. "Investor Sentiment and the Cross-Section of Stock Returns," NBER Working Papers 10449, National Bureau of Economic Research, Inc.
- Mark Doms & Norman Morin, 2004. "Consumer sentiment, the economy, and the news media," Finance and Economics Discussion Series 2004-51, Board of Governors of the Federal Reserve System (U.S.).
- Chelley-Steeley, Patricia L., 2005. "Modeling equity market integration using smooth transition analysis: A study of Eastern European stock markets," Journal of International Money and Finance, Elsevier, vol. 24(5), pages 818-831, September.
- Pagano, Marco, 1993. "Financial markets and growth: An overview," European Economic Review, Elsevier, vol. 37(2-3), pages 613-622, April.
- Solnik, Bruno H., 1974. "An equilibrium model of the international capital market," Journal of Economic Theory, Elsevier, vol. 8(4), pages 500-524, August.
- Mehrotra, Aaron & Rautava, Jouko, 2007.
"Do sentiment indicators help to assess and predict actual developments of the Chinese economy?,"
BOFIT Discussion Papers
11/2007, Bank of Finland, Institute for Economies in Transition.
- Aaron Mehrotra & Jouko Rautava, 2008. "Do sentiment indicators help to assess and predict actual developments of the Chinese economy?," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 6(3), pages 225-239.
- Gregory W. Brown & Michael T. Cliff, 2005. "Investor Sentiment and Asset Valuation," The Journal of Business, University of Chicago Press, vol. 78(2), pages 405-440, March.
- Juselius, Katarina, 2006. "The Cointegrated VAR Model: Methodology and Applications," OUP Catalogue, Oxford University Press, number 9780199285679, March.
- Jansen, W. Jos & Nahuis, Niek J., 2003.
"The stock market and consumer confidence: European evidence,"
Elsevier, vol. 79(1), pages 89-98, April.
- W. Jos Jansen & Niek J. Nahuis, 2002. "The Stock Market and Consumer Confidence: European Evidence," MEB Series (discontinued) 2002-11, Netherlands Central Bank, Monetary and Economic Policy Department.
- Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
- Carrieri, Francesca & Errunza, Vihang & Hogan, Ked, 2007. "Characterizing World Market Integration through Time," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 42(04), pages 915-940, December.
When requesting a correction, please mention this item's handle: RePEc:bla:reviec:v:19:y:2011:i:1:p:137-157. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If references are entirely missing, you can add them using this form.