Cointegration in Central and East European markets in light of EU accession
This study investigates the impact of EU accession on financial markets in the Czech Republic, Estonia, Hungary, Poland, Romania and Slovakia and what effect, if any, EU entry had on the cointegration relationships between these markets and developed ones. Using a VAR approach, we find an increase in the number of cointegration relationships over time. However, it appears that EU accession plays a minor direct role in the development of these links, cointegration being driven more by financial and economic factors as opposed to explicit political actions.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 21 (2011)
Issue (Month): 1 (February)
|Contact details of provider:|| Web page: http://www.elsevier.com/locate/intfin|
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.:
- Fratzscher, M., 2001.
"Financial Market Integration in Europe: On the Effects of EMU on Stock Markets,"
48, Quebec a Montreal - Recherche en gestion.
- Fratzscher, Marcel, 2002. "Financial Market Integration in Europe: On the Effects of EMU on Stock Markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 7(3), pages 165-93, July.
- Fratzscher, Marcel, 2001. "Financial market integration in Europe: on the effects of EMU on stock markets," Working Paper Series 0048, European Central Bank.
- Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
- Agmon, Tamir, 1973. "Country Risk: The Significance of the Country Factor for Share-Price Movements in the United Kingdom, Germany, and Japan," The Journal of Business, University of Chicago Press, vol. 46(1), pages 24-32, January.
- Bekaert, Geert & Harvey, Campbell R., 1997.
"Emerging equity market volatility,"
Journal of Financial Economics,
Elsevier, vol. 43(1), pages 29-77, January.
- Ripley, Duncan M, 1973. "Systematic Elements in the Linkage of National Stock Market Indices," The Review of Economics and Statistics, MIT Press, vol. 55(3), pages 356-61, August.
- Kim, Suk Joong & Moshirian, Fariborz & Wu, Eliza, 2005. "Dynamic stock market integration driven by the European Monetary Union: An empirical analysis," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2475-2502, October.
- 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.
- Egert, Balazs & Kocenda, Evzen, 2007.
"Interdependence between Eastern and Western European stock markets: Evidence from intraday data,"
Elsevier, vol. 31(2), pages 184-203, June.
- Balazs Egert & Evzen Kocenda, 2005. "Contagion Across and Integration of Central and Eastern European Stock Markets: Evidence from Intraday Data," William Davidson Institute Working Papers Series wp798, William Davidson Institute at the University of Michigan.
- William Cheung & Scott Fung & Shih-Chuan Tsai, 2010. "Global capital market interdependence and spillover effect of credit risk: evidence from the 2007-2009 global financial crisis," Applied Financial Economics, Taylor & Francis Journals, vol. 20(1-2), pages 85-103.
- Gilmore, Claire G. & McManus, Ginette M., 2002. "International portfolio diversification: US and Central European equity markets," Emerging Markets Review, Elsevier, vol. 3(1), pages 69-83, March.
- Gerald P. Dwyer & R. W. Hafer, 1988. "Are national stock markets linked?," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 3-14.
- Wheatley, Simon, 1988. "Some tests of international equity integration," Journal of Financial Economics, Elsevier, vol. 21(2), pages 177-212, September.
- Ping Wang & Tomoe Moore, 2008. "Stock Market Integration For The Transition Economies: Time-Varying Conditional Correlation Approach," Manchester School, University of Manchester, vol. 76(s1), pages 116-133, 09.
- Frank Westermann, 2004. "Does the Euro affect the dynamic interactions of stock markets in Europe? Evidence from France, Germany and Italy," The European Journal of Finance, Taylor & Francis Journals, vol. 10(2), pages 139-148.
- Per-Ola ManeschiÃ¶ld, 2006. "Integration Between the Baltic and International Stock Markets," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 42(6), pages 25-45, December.
- Scheicher, Martin, 2001. "The Comovements of Stock Markets in Hungary, Poland and the Czech Republic," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 6(1), pages 27-39, January.
- Tomoe Moore, 2007. "Has entry to the European Union altered the dynamic links of stock returns for the emerging markets?," Applied Financial Economics, Taylor & Francis Journals, vol. 17(17), pages 1431-1446.
- Levy, Haim & Sarnat, Marshall, 1970. "International Diversification of Investment Portfolios," American Economic Review, American Economic Association, vol. 60(4), pages 668-75, September.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- repec:ebl:ecbull:v:3:y:2004:i:33:p:1-9 is not listed on IDEAS
- Venus Khim-Sen Liew, 2004. "Which Lag Length Selection Criteria Should We Employ?," Economics Bulletin, AccessEcon, vol. 3(33), pages 1-9.
When requesting a correction, please mention this item's handle: RePEc:eee:intfin:v:21:y:2011:i:1:p:144-155. 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: (Shamier, Wendy)
If references are entirely missing, you can add them using this form.