Non-synchronous Trading and Testing for Market Integration in Central European Emerging Markets

Peter C Schotman and Ania Zalewska

No 5352, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: The paper contributes to the literature on integration of stock markets by addressing the issue of non-synchronous trading. We argue that controlling for time differences in trading hours of stock markets is important and show that time-adjustment improves estimates of market integration. We also show that using weekly frequency does not sidestep the consequences of the time-match problem but leads to significant loss of information. We show that the nature of integration of stock exchanges operating in the Czech Republic, Hungary, and Poland with the stock markets of Germany, UK and US in the period 1994-2004 is very dynamic. Finally, the study shows that the autocorrelation of returns on the main market indexes of the emerging markets have declined over time.

Keywords: market integration; Non-synchronous trading; Emerging markets; Market efficiency; Kalman filter (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2005-11
New Economics Papers: this item is included in nep-eec, nep-fin, nep-fmk and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
https://cepr.org/publications/DP5352 (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cpr:ceprdp:5352

Ordering information: This working paper can be ordered from
https://cepr.org/publications/DP5352

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by ().