Please use this identifier to cite or link to this item:
https://hdl.handle.net/20.500.14279/3419
Title: | Stock market integration between new EU member states and the Euro-zone |
Authors: | Aslanidis, Nektarios Savva, Christos S. Aslanidis, Nektarios |
Major Field of Science: | Social Sciences |
Field Category: | Economics and Business |
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 |
Issue Date: | 2010 |
Source: | Empirical Economics, 2010, vol. 39, no. 2, pp. 337-351 |
Volume: | 39 |
Issue: | 2 |
Start page: | 337 |
End page: | 351 |
Journal: | Empirical Economics |
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. |
URI: | https://hdl.handle.net/20.500.14279/3419 |
ISSN: | 14358921 |
DOI: | 10.1007/s00181-009-0306-6 |
Rights: | © Springer |
Type: | Article |
Affiliation : | Cyprus University of Technology University Rovira Virgili |
Publication Type: | Peer Reviewed |
Appears in Collections: | Άρθρα/Articles |
Files in This Item:
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Stockmarket.pdf | 296.14 kB | Adobe PDF | View/Open |
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