International stock market integration: Central and South Eastern Europe compared
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F13%3A10159133" target="_blank" >RIV/00216208:11230/13:10159133 - isvavai.cz</a>
Alternative codes found
RIV/67985556:_____/13:00391629
Result on the web
<a href="http://dx.doi.org/10.1016/j.ecosys.2012.07.004" target="_blank" >http://dx.doi.org/10.1016/j.ecosys.2012.07.004</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.ecosys.2012.07.004" target="_blank" >10.1016/j.ecosys.2012.07.004</a>
Alternative languages
Result language
angličtina
Original language name
International stock market integration: Central and South Eastern Europe compared
Original language description
We examine the international stock market comovements between Western Europe vis-a-vis Central (Czech Republic, Hungary and Poland) and South Eastern Europe (Croatia, Macedonia and Serbia) using multivariate GARCH models in the period 2006-2011. Comparing these two groups, we find that the degree of comovements is much higher for Central Europe. The correlation of South Eastern European stock markets with developed markets is essentially zero. An exemption to this regularity is Croatia, with its stock market displaying a greater degree of integration toward Western Europe recently, but still below the levels typical for Central Europe. All stock markets fall strongly at the beginning of the global financial crisis and we do not find that the crisis altered the degree of stock market integration between these groups of countries.
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GA402%2F09%2F0965" target="_blank" >GA402/09/0965: New Approaches to Monitoring and Forecasting Financial Markets</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Economic Systems
ISSN
0939-3625
e-ISSN
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Volume of the periodical
37
Issue of the periodical within the volume
1
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
11
Pages from-to
81-91
UT code for WoS article
000316423100007
EID of the result in the Scopus database
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