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Statistical Properties of the CEE Stock Market Dynamics. A Panel Data Analysis


  • Barry Harrison

    () (Nottingham Business School, Nottingham Trent University)

  • Radu Lupu

    () (Bucharest Academy of Economic Studies, Romania)

  • Iulia Lupu

    () (“Victor Slavescu” Center for Financial and Monetary Research, Romanian Academy of Science)


The importance of Central and Eastern European (CEE) stock markets grew after 1990 as they were gradually used as diversification instruments for the foreign investors as well as due to the general expectation of their integration within the European capital market. This development generated an increasing body of literature issued with the aim to analyze the properties of these markets both in terms of performance and integration on one hand and diversification and risk management on the other hand. The paper focuses on the stock market indices of ten emerging countries from the CEE region – Slovenia, Slovak Republic, Estonia, Latvia, Lithuania, Bulgaria, Czech Republic, Romania, Hungary and Poland –over the 1994-2006 period and aims at identifying the properties of their dynamics in a panel data analysis. We found evidence of stationarity for the returns of these indices and identified some common characteristics of these markets taken as a whole.

Suggested Citation

  • Barry Harrison & Radu Lupu & Iulia Lupu, 2010. "Statistical Properties of the CEE Stock Market Dynamics. A Panel Data Analysis," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 13(37), pages 41-54, September.
  • Handle: RePEc:rej:journl:v:13:y:2010:i:37:p:41-54

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    Cited by:

    1. Yosra Mefteh Rekik & Younes Boujelbene, 2015. "Price Dynamics and Market Volatility: Behavioral Heterogeneity under Switching Trading Strategies on Artificial Financial Market," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 6(2), pages 33-43, April.
    2. repec:eee:phsmap:v:490:y:2018:i:c:p:1211-1227 is not listed on IDEAS
    3. Iulia LUPU, 2015. "European Stock Markets Correlations In A Markov Switching Framework," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 103-119, September.

    More about this item


    Nonlinearities; Stock Markets; Central and Eastern European Countries;

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General


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