Contagion Across and Integration of Central and Eastern European Stock Markets: Evidence from Intraday Data
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- 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.
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More about this item
Keywordscontagion and spillover effects; market integration; European emerging markets; intra-day data;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- O16 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
- P59 - Economic Systems - - Comparative Economic Systems - - - Other
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-06-10 (All new papers)
- NEP-EEC-2006-06-10 (European Economics)
- NEP-FIN-2006-06-10 (Finance)
- NEP-FMK-2006-06-10 (Financial Markets)
- NEP-RMG-2006-06-10 (Risk Management)
- NEP-TRA-2006-06-10 (Transition Economics)
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