New empirical evidence on CEE's stock markets integration

The main aim of the study was to explore the integration of CEE’s stock markets (Central, South‐East and Baltic) with those of the developed ones (Germany, USA and the UK). Using daily data from 20 October 2000 up to 20 October 2016, the static analysis indicates a long‐run cointegration relationshi...

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Published in:World economy 2020-10, Vol.43 (10), p.2785-2802
Main Authors: Boţoc, Claudiu, Anton, Sorin Gabriel
Format: Article
Language:English
Subjects:
cointegration
Contagion
Diversification
Economic analysis
Emerging markets
EU integration
International economic integration
rolling window
Securities markets
Stock exchanges
stock market
Stock markets
Stocks
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description The main aim of the study was to explore the integration of CEE’s stock markets (Central, South‐East and Baltic) with those of the developed ones (Germany, USA and the UK). Using daily data from 20 October 2000 up to 20 October 2016, the static analysis indicates a long‐run cointegration relationship between CEE markets and all three counterparts considered. The dynamic analysis indicates several short‐run episodes of cointegration, which are influenced by nondomestic factors. When comparing among the counterparts, one can highlight that the US stock market is less integrated with emerging markets, which could be considered for portfolio diversification. Furthermore, the contagion effect is not rejected, given that the dynamic pairwise correlations are likely to be affected by herding behaviour and significant break dates.
doi_str_mv 10.1111/twec.12961
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source EBSCOhost Business Source Ultimate; International Bibliography of the Social Sciences (IBSS); EBSCOhost Econlit with Full Text; Wiley-Blackwell Read & Publish Collection; PAIS Index; Worldwide Political Science Abstracts
subjects cointegration
Contagion
Diversification
Economic analysis
Emerging markets
EU integration
International economic integration
rolling window
Securities markets
Stock exchanges
stock market
Stock markets
Stocks
title New empirical evidence on CEE's stock markets integration
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