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Title:
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Stock market integration between new EU member
states and the Euro-zone
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Author:
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Aslanidis, Nektarios; Savva, Christos S.
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Other authors:
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Universitat Rovira i Virgili. Departament d'Economia |
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Resum:
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This paper measures the degree in stock market integration between five Eastern
European countries and the Euro-zone. A potentially gradual transition in correlations
is accommodated by smooth transition conditional correlation models. We find that
the correlation between stock markets has increased from 2001 to 2007. In particular,
the Czech and Polish markets show a higher correlation to the Euro-zone. However,
this is not a broad-based phenomenon across Eastern Europe. We also find that the
increase in correlations is not a reflection of a world-wide phenomenon of financial
integration but appears to be specific to the European market.
JEL classifications: C32; C51; F36; G15
Keywords: Multivariate GARCH; Smooth Transition Conditional Correlation; Stock
Return Comovement; New EU Members. |
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Publication date:
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2008 |
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Subject (UDC):
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339 - Comerç. Relacions econòmiques internacionals. Economia mundial. Màrqueting |
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Subject(s):
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Anàlisi de sèries temporals
Models economètrics
Integració econòmica
Integració europea
Finances internacionals
Europa de l'Est
Ampliació de la Unió Europea |
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Rights:
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Aquest document està subjecte a una llicència d'ús de Creative Commons, amb la qual es permet copiar, distribuir i comunicar públicament l'obra sempre que se'n citin l'autor original, la universitat i el departament i no se'n faci cap ús comercial ni obra derivada, tal com queda estipulat en la llicència d'ús (http://creativecommons.org/licenses/by-nc-nd/2.5/es/) |
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Document type:
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Working Paper |
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ISSN:
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1988 - 0812
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Collection:
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Documents de treball del Departament d'Economia;2008-10
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Share:
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