International stock market integration: Central and South Eastern Europe compared

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/67985556:_____/13:00391629

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

International stock market integration: Central and South Eastern Europe compared

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

International stock market integration: Central and South Eastern Europe compared

Popis výsledku anglicky

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.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/GA402%2F09%2F0965" target="_blank" >GA402/09/0965: Nové přístupy pro monitorování a predikci na kapitálových trzích</a><br>

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2013

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Economic Systems

ISSN

0939-3625

e-ISSN

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Svazek periodika

37

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

11

Strana od-do

81-91

Kód UT WoS článku

000316423100007

EID výsledku v databázi Scopus

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