Financial Integration of Stock Markets among New EU Member States and the Euro Area
Ian Babetskii,
Lubos Komarek () and
Zlatuse Komarkova ()
Authors registered in the RePEc Author Service: Jan Babecký
Working Papers from Czech National Bank, Research and Statistics Department
Abstract:
The paper considers the empirical dimension of financial integration among stock markets in four new European Union member states (the Czech Republic, Hungary, Poland and Slovakia) in comparison with the euro area. The main objective is to test for the existence and determine the degree of the four states’ financial integration relative to the euro currency union. The analysis is performed at the country level (using national stock exchange indices) and at the sectoral level (considering banking, chemical, electricity and telecommunication indices). Our empirical evaluation consists of (1) an analysis of alignment (by means of standard and rolling correlation analysis) to outline the overall pattern of integration; (2) the application of the concept of beta convergence (through the use of time series, panel and state-space techniques) to identify the speed of integration; and (3) the application of so-called sigma convergence to measure the degree of integration. We find evidence of stock market integration on both the national and sectoral levels between the Czech Republic, Hungary, Poland and the euro area.
Keywords: Beta convergence; new EU member states; sigma convergence; stock markets. (search for similar items in EconPapers)
JEL-codes: C23 G12 G15 (search for similar items in EconPapers)
Date: 2007-12
New Economics Papers: this item is included in nep-cfn, nep-eec, nep-fmk and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)
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https://www.cnb.cz/export/sites/cnb/en/economic-re ... wp/cnbwp_2007_07.pdf
Related works:
Working Paper: Financial Integration of Stock Markets among New EU Member States and the Euro Area (2008) 
Working Paper: Financial Integration of Stock Markets among New EU Member States and the Euro Area (2008) 
Journal Article: Financial Integration of Stock Markets among New EU Member States and the Euro Area (2007) 
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Persistent link: https://EconPapers.repec.org/RePEc:cnb:wpaper:2007/7
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