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The Dynamics of Central European Equity Market Integration

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  • Claire G.Gilmore
  • Brian Lucey
  • Ginette M.McManus

Abstract

This paper examines bilateral and multilateral cointegration properties of the German stock market and those of the three major Central European countries which recently attained membership in the European Union. Cointegration tests cover the time period of July 6, 1995 to February 10, 2005. Additional techniques are also applied to provide further information concerning the dynamic evolution of the integration process during this period. Application of the Johansen (1988) cointegration procedure indicates that, contrary to results for an earlier time period there is evidence of an emerging long-term relationship between the German and UK markets and the Czech market, as well as cointegration within the group of Central European markets. We also apply the Haldane and Hall convergence analysis, in an effort to determine the extent to which these markets are converging to London or Frankfurt. Overall, the results suggest that the process of integration of the Central European countries into the EU is leading to a closer integration of their equity markets with those of major EU countries.

Suggested Citation

  • Claire G.Gilmore & Brian Lucey & Ginette M.McManus, 2005. "The Dynamics of Central European Equity Market Integration," The Institute for International Integration Studies Discussion Paper Series iiisdp069, IIIS.
    • Handle: RePEc:iis:dispap:iiisdp069
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    Cited by:

    1. Gjika, Dritan & Horváth, Roman, 2013. "Stock market comovements in Central Europe: Evidence from the asymmetric DCC model," Economic Modelling, Elsevier, vol. 33(C), pages 55-64.
    2. Oleg Deev & Dagmar Linnertová, 2012. "Intraday and intraweek trade anomalies on the Czech stock market," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 60(4), pages 79-88.
    3. Lucey, Brian M. & Voronkova, Svitlana, 2008. "Russian equity market linkages before and after the 1998 crisis: Evidence from stochastic and regime-switching cointegration tests," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1303-1324, December.
    4. Horvath, Roman & Petrovski, Dragan, 2013. "International stock market integration: Central and South Eastern Europe compared," Economic Systems, Elsevier, vol. 37(1), pages 81-91.
    5. Manolis Syllignakis & Georgios Kouretas, 2010. "German, US and Central and Eastern European Stock Market Integration," Open Economies Review, Springer, vol. 21(4), pages 607-628, September.
    6. Angelovska, Julijana, 2017. "The Impact Of Financial Crises On The Short-Term Interaction Between Balkan Stock Markets," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 8(2), pages 53-66.
    7. Rehman, Mobeen Ur & Ahmad, Nasir & Shahzad, Syed Jawad Hussain & Vo, Xuan Vinh, 2022. "Dependence dynamics of stock markets during COVID-19," Emerging Markets Review, Elsevier, vol. 51(PB).
    8. Julijana Angelovska, 2017. "Long and Short-Term Dynamic Relationship between Macedonian and Croatian Stock Markets," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, vol. 20(2), pages 11-20, November.
    9. Demian, Calin-Vlad, 2011. "Cointegration in Central and East European markets in light of EU accession," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(1), pages 144-155, February.
    10. Nikola Gradojević & Eldin Dobardžić, 2013. "Causality between Regional Stock Markets: A Frequency Domain Approach," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 60(5), pages 633-647, September.

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    More about this item

    Keywords

    Vysegrad Countries. Integration; Equity Markets; Recursive Cointegration;
    All these keywords.

    JEL classification:

    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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