Are the Central European Stock Markets Still Different? A Cointegration Analysis
The Central European countries became members of the European Union (EU) in May 2004. Has their accession into the EU also resulted in a stronger financial integration with the global economy in general and with the "old" EU countries in particular? Based on a cointegration analysis applied to stock market movements, I detect for the period after the EU enlargement two new long-run equilibrium relations that indeed suggest a stronger inter-dependence of the markets, whereas no such relations can be observed before this date. In particular, one new relation links the Central European markets to the Western European market, reflecting tighter co-movements of the "new" and the "old" EU markets. The second relation points at the role of the US market for both the Central and the Western European markets.
|Date of creation:||08 Sep 2009|
|Date of revision:|
|Contact details of provider:|| Postal: Ludwigstr. 28, 80539 Munich, Germany|
Web page: http://www.vwl.uni-muenchen.de
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jens Köke & Michael Schröder, 2003.
"The Prospects of Capital Markets in Central and Eastern Europe,"
Eastern European Economics,
M.E. Sharpe, Inc., vol. 41(4), pages 5-37, July.
- Schröder, Michael & Köke, Jens, 2002. "The Prospects of Capital Markets in Central and Eastern Europe," ZEW Discussion Papers 02-57, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
- Jurgen A Doornik & Henrik Hansen, .
"An omnibus test for univariate and multivariate normalit,"
W4&91., Economics Group, Nuffield College, University of Oxford.
- Jurgen A. Doornik & Henrik Hansen, 2008. "An Omnibus Test for Univariate and Multivariate Normality," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 927-939, December.
- Gilmore, Claire G. & McManus, Ginette M., 2002. "International portfolio diversification: US and Central European equity markets," Emerging Markets Review, Elsevier, vol. 3(1), pages 69-83, March.
- Kasa, Kenneth, 1992. "Common stochastic trends in international stock markets," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 95-124, February.
- Kocenda, Evzen & Kutan, Ali M. & Yigit, Taner M., 2006.
"Pilgrims to the Eurozone: How far, how fast?,"
Elsevier, vol. 30(4), pages 311-327, December.
- Evzen Kocenda & Ali M. Kutan & M. Taner Yigit, 2005. "Pilgrims to Eurozone: How Far, How Fast," Working Papers 0501, Department of Economics, Bilkent University.
- Evzen Kocenda & Ali M. Kutan & Taner M. Yigit, 2005. "Pilgrims to the Eurozone: How Far, How Fast?," CERGE-EI Working Papers wp279, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Pietro Garibaldi & Nada Mora & Ratna Sahay & Jeromin Zettelmeyer, 2001.
"What Moves Capital to Transition Economies?,"
IMF Staff Papers,
Palgrave Macmillan, vol. 48(4), pages 6.
- Syriopoulos, Theodore, 2006. "Risk and return implications from investing in emerging European stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(3), pages 283-299, July.
- Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 241-256, June.
- Balazs Egert & Evzen Kocenda, 2005.
"Contagion Across and Integration of Central and Eastern European Stock Markets: Evidence from Intraday Data,"
William Davidson Institute Working Papers Series
wp798, William Davidson Institute at the University of Michigan.
- Egert, Balazs & Kocenda, Evzen, 2007. "Interdependence between Eastern and Western European stock markets: Evidence from intraday data," Economic Systems, Elsevier, vol. 31(2), pages 184-203, June.
- Cheng Hsiao & Zijun Wang & Jian Yang & Qi Li, 2006.
"The emerging market crisis and stock market linkages: further evidence,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 21(6), pages 727-744.
- Jian Yang & Cheng Hsiao & Qi Li & Zijun Wang, 2005. "The Emerging Market Crisis and Stock Market Linkages: Further Evidence," IEPR Working Papers 05.27, Institute of Economic Policy Research (IEPR).
- Voronkova, Svitlana, 2004. "Equity market integration in Central European emerging markets: A cointegration analysis with shifting regimes," International Review of Financial Analysis, Elsevier, vol. 13(5), pages 633-647.
- Marin, Dalia, 2004.
"'A Nation of Poets and Thinkers' - Less So with Eastern Enlargement? Austria and Germany,"
Discussion Papers in Economics
329, University of Munich, Department of Economics.
- Marin, Dalia, 2004. "A Nation of Poets and Thinkers - Less so with Eastern Enlargement? Austria and Germany," CEPR Discussion Papers 4358, C.E.P.R. Discussion Papers.
- Dvorak, Tomas & Podpiera, Richard, 2006.
"European Union enlargement and equity markets in accession countries,"
Emerging Markets Review,
Elsevier, vol. 7(2), pages 129-146, June.
- Dvorak, Tomas & Podpiera, Richard, 2005. "European Union enlargement and equity markets in accession countries," Working Paper Series 0552, European Central Bank.
- Lee, Tae-Hwy & Tse, Yiuman, 1996. "Cointegration tests with conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 73(2), pages 401-410, August.
- Abul Masih & Rumi Masih, 1997. "A comparative analysis of the propagation of stock market fluctuations in alternative models of dynamic causal linkages," Applied Financial Economics, Taylor & Francis Journals, vol. 7(1), pages 59-74.
- Longin, Francois & Solnik, Bruno, 1995. "Is the correlation in international equity returns constant: 1960-1990?," Journal of International Money and Finance, Elsevier, vol. 14(1), pages 3-26, February.
- Taylor, Mark P & Tonks, Ian, 1989. "The Internationalisation of Stock Markets and the Abolition of U.K. Exchange Control," The Review of Economics and Statistics, MIT Press, vol. 71(2), pages 332-36, May.
- 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.
- Gonzalo, Jesus, 1994. "Five alternative methods of estimating long-run equilibrium relationships," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 203-233.
- Jan Hanousek & Evzen Kocenda & Jan Svejnar, 2004.
"Spinoffs, Privatization and Corporate Performance in Emerging Markets,"
- Jan Hanousek & Evzen Kocenda & Jan Svejnar, 2009. "Divestitures, privatization and corporate performance in emerging markets," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 17(1), pages 43-73, 01.
- Jan Hanousek & Evzen Kocenda & Jan Svejnar, 2004. "Spinoffs, Privatization and Corporate Performance in Emerging Markets," William Davidson Institute Working Papers Series 2004-685, William Davidson Institute at the University of Michigan.
- Bessler, David A. & Yang, Jian, 2003. "The structure of interdependence in international stock markets," Journal of International Money and Finance, Elsevier, vol. 22(2), pages 261-287, April.
- Christian Jochum & Gebhard Kirchgässner & Mariusz Platek, 1999. "A long-run relationship between Eastern European stock markets? Cointegration and the 1997/98 crisis in emerging markets," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 135(3), pages 454-479, September.
When requesting a correction, please mention this item's handle: RePEc:lmu:muenec:10993. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Tamilla Benkelberg)
If references are entirely missing, you can add them using this form.