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Stock market integration between new EU member states and the Euro-zone

  • Christos Savva

    ()

  • Nektarios Aslanidis

    ()

This paper measures the degree in stock market integration between five Eastern European countries and the Euro-zone. A potentially gradual transition in correlations is accommodated by smooth transition conditional correlation models. We find that the correlation between stock markets has increased from 2001 to 2007. In particular, the Czech and Polish markets show a higher correlation to the Euro-zone. However, this is not a broad-based phenomenon across Eastern Europe. We also find that the increase in correlations is not a reflection of a world-wide phenomenon of financial integration but appears to be specific to the European market. JEL classifications: C32; C51; F36; G15 Keywords: Multivariate GARCH; Smooth Transition Conditional Correlation; Stock Return Comovement; New EU Members.

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File URL: http://hdl.handle.net/10.1007/s00181-009-0306-6
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Article provided by Springer in its journal Empirical Economics.

Volume (Year): 39 (2010)
Issue (Month): 2 (October)
Pages: 337-351

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Handle: RePEc:spr:empeco:v:39:y:2010:i:2:p:337-351
DOI: 10.1007/s00181-009-0306-6
Contact details of provider: Web page: http://www.springer.com

Order Information: Web: http://www.springer.com/economics/econometrics/journal/181/PS2

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