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Cointegration in Central and East European markets in light of EU accession

  • Demian, Calin-Vlad
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    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.

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    Article provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.

    Volume (Year): 21 (2011)
    Issue (Month): 1 (February)
    Pages: 144-155

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    Handle: RePEc:eee:intfin:v:21:y:2011:i:1:p:144-155
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