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Are the Central European Stock Markets Still Different? A Cointegration Analysis

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  • Rousova, Linda

Abstract

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.

Suggested Citation

  • Rousova, Linda, 2009. "Are the Central European Stock Markets Still Different? A Cointegration Analysis," Discussion Papers in Economics 10993, University of Munich, Department of Economics.
  • Handle: RePEc:lmu:muenec:10993
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    File URL: https://epub.ub.uni-muenchen.de/10993/1/cointegrationfinal.pdf
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    Cited by:

    1. Klaus Grobys, 2011. "Are Different National Stock Markets Driven by the Same Stochastic Hidden Variable?," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 3(1), pages 021-030, June.

    More about this item

    Keywords

    Transition Economies; Emerging stock markets; Central Europe; European integration; Cointegration; Long-run stock market linkages;

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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