The Comovements of Stock Markets in Hungary, Poland and the Czech Republic
In this paper, we study the regional and global integration of stock markets in Hungary, Poland and the Czech Republic. We estimate a vector autoregression with a multivariate GARCH component and perform a variety of diagnostic tests. Our main empirical result is the existence of limited interaction: in returns we identify both regional and global shocks, but innovations to volatility have a primarily regional character. We document low correlations to international markets and discuss the economic significance of the inter-market dynamics. Copyright @ 2001 by John Wiley & Sons, Ltd. All rights reserved.
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Volume (Year): 6 (2001)
Issue (Month): 1 (January)
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