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International Stock Market Integration: Central and South Eastern Europe Compared

  • Roman Horvath

    ()

  • Dragan Petrovski

We examine the international stock market comovements between Western Europe vis-à-vis Central (the Czech Republic, Hungary and Poland) and South Eastern Europe (Croatia, Macedonia and Serbia) using multivariate GARCH models in 2006-2011. Comparing these two groups, we find that the degree of comovements is much higher for Central Europe. The correlation of South Eastern European stock markets with developed markets is essentially zero. The exemption to this regularity is Croatia with its stock market displaying a greater degree of integration towards Western Europe recently, but still below the levels typical for Central Europe. All stock markets fall strongly at the beginning of the global financial crisis and we do not find that the crisis altered the degree of stock market integration between this group of countries.

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File URL: http://www.wdi.umich.edu/files/Publications/WorkingPapers/wp1028.pdf
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Paper provided by William Davidson Institute at the University of Michigan in its series William Davidson Institute Working Papers Series with number wp1028.

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Date of creation: 01 Feb 2012
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Handle: RePEc:wdi:papers:2012-1028
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