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Cointegration and conditional correlations among German and Eastern Europe equity markets

  • Guidi, Francesco
  • Gupta, Rakesh

This paper aims to examine the long term relationship between German and three Central and Eastern Europe (CEE) equity markets. Application of Johansen as well as Engle-Granger cointegration tests show that there is no long-term relationship among these markets while the Gregory-Hansen cointegration test rejects the null hypothesis of no cointegration with structural break. An additional objective is to capture the time-varying correlation among these markets through the dynamic conditional correlation models. Empirical results suggest that correlations increased after the accession of the CEE countries into the European Union.

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File URL: http://mpra.ub.uni-muenchen.de/21732/2/MPRA_paper_21732.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 21732.

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Date of creation: Jan 2010
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Handle: RePEc:pra:mprapa:21732
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