Use this identifier to quote or link this document: http://hdl.handle.net/2072/13263

Stock market integration between new EU member states and the Euro-zone
Aslanidis, Nektarios; Savva, Christos S.
Universitat Rovira i Virgili. Departament d'Economia
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.
2008
339 - Comerç. Relacions econòmiques internacionals. Economia mundial. Màrqueting
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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Working Paper
1988 - 0812
Documents de treball del Departament d'Economia;2008-10
         

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