Please use this identifier to cite or link to this item: https://ktisis.cut.ac.cy/handle/10488/5123
Title: Stock market integration between new EU member states and the Euro-zone
Stock market integration between new EU member states and the Euro-zone
Authors: Aslanidis, Nektarios 
Savva, Christos S. 
Aslanidis, Nektarios 
Keywords: Multivariate GARCH;New EU members;Smooth transition conditional correlation;Stock return comovement;Multivariate GARCH;New EU members;Smooth transition conditional correlation;Stock return comovement
Category: Economics and Business
Field: Social Sciences
Issue Date: 2010
Publisher: Springer-Verlag
Springer-Verlag
Source: Empirical Economics, 2010, Volume 39, Issue 2, Pages 337-351
Empirical Economics, 2010, Volume 39, Issue 2, Pages 337-351
Abstract: 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 Czech, Slovenian and Polish markets have increased their correlation to the Euro-zone from 1997 to 2008. However, this is not a broad-based phenomenon across Eastern Europe. The results also show that the increase in correlations is not a reflection of a world-wide phenomenon of financial integration but is mainly driven by EU-related developments.
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 Czech, Slovenian and Polish markets have increased their correlation to the Euro-zone from 1997 to 2008. However, this is not a broad-based phenomenon across Eastern Europe. The results also show that the increase in correlations is not a reflection of a world-wide phenomenon of financial integration but is mainly driven by EU-related developments.
URI: http://ktisis.cut.ac.cy/handle/10488/5123
http://ktisis.cut.ac.cy/handle/10488/5123
ISSN: 03777332
03777332
DOI: 10.1007/s00181-009-0306-6
10.1007/s00181-009-0306-6
Rights: © 2009 Springer-Verlag. All rights reserved.
� 2009 Springer-Verlag. All rights reserved.
Type: Article
Article
Appears in Collections:Άρθρα/Articles

Files in This Item:
File Description SizeFormat
Stockmarket.pdf296.14 kBAdobe PDFView/Open
Show full item record

SCOPUSTM   
Citations 5

33
checked on Dec 12, 2018

WEB OF SCIENCETM
Citations

30
checked on Jun 10, 2019

Page view(s)

100
Last Week
1
Last month
3
checked on Jun 12, 2019

Download(s)

73
checked on Jun 12, 2019

Google ScholarTM

Check

Altmetric


This item is licensed under a Creative Commons License Creative Commons