dc.contributor |
Universitat Rovira i Virgili. Departament d'Economia |
dc.contributor.author |
Aslanidis, Nektarios |
dc.contributor.author |
Dungey, Mardi |
dc.contributor.author |
Savva, Christos S. |
dc.date.accessioned |
2009-01-19T17:56:52Z |
dc.date.available |
2009-01-19T17:56:52Z |
dc.date.created |
2008 |
dc.date.issued |
2008 |
dc.identifier.issn |
1988 - 0812 |
dc.identifier.other |
T - 2123 - 2008 |
dc.identifier.uri |
http://hdl.handle.net/2072/13265 |
dc.format.extent |
37 |
dc.format.extent |
614622 bytes |
dc.format.mimetype |
application/pdf |
dc.language.iso |
eng |
dc.relation.ispartofseries |
Documents de treball del Departament d'Economia;2008-12 |
dc.rights |
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/) |
dc.subject.other |
Anàlisi de sèries temporals |
dc.subject.other |
Models economètrics |
dc.subject.other |
Integració econòmica |
dc.subject.other |
Integració europea |
dc.subject.other |
Finances internacionals |
dc.subject.other |
Ampliació de la Unió Europea |
dc.subject.other |
Hongria |
dc.subject.other |
República Txeca |
dc.subject.other |
Polònia |
dc.title |
Progress Towards to Equity Market Integration in Eastern Europe |
dc.type |
info:eu-repo/semantics/workingPaper |
dc.subject.udc |
339 - Comerç. Relacions econòmiques internacionals. Economia mundial. Màrqueting |
dc.description.abstract |
The advent of the European Union has decreased the diversification benefits available
from country based equity market indices in the region. This paper measures the increase in
stock integration between the three largest new EU members (Hungary, the Czech Republic
and Poland who joined in May 2004) and the Euro-zone. A potentially gradual transition in
correlations is accommodated in a single VAR model by embedding smooth transition
conditional correlation models with fat tails, spillovers, volatility clustering, and asymmetric
volatility effects. At the country market index level all three Eastern European markets show
a considerable increase in correlations in 2006. At the industry level the dates and transition
periods for the correlations differ, and the correlations are lower although also increasing. The
results show that sectoral indices in Eastern European markets may provide larger
diversification opportunities than the aggregate market.
JEL classifications: C32; C51; F36; G15
Keywords: Multivariate GARCH; Smooth Transition Conditional Correlation;
Stock Return Comovement; Sectoral correlations; New EU Members |