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

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