The International Integration of the Eastern Europe and two Middle East Stock Markets

José Soares da Fonseca

No 2013-01, GEMF Working Papers from GEMF, Faculty of Economics, University of Coimbra

Abstract: This article studies the international integration of twelve Eastern Europe Stock Markets and two Middle East Stock Markets. It is commonly accepted that the returns in these markets have a low correlation with the other markets, which means that they are still weakly integrated in the world financial market. This assumption is the object of the empirical analysis in the present article, in which the co-integration of each of these national stock markets with the international market is estimated. Co-integration is a well adapted methodology to study the international integration of stock markets, since it puts in evidence, simultaneously, the long-term relation between the stock prices of a domestic market and those representing the international market and the short-term relation between the changes in those prices. The results obtained show that, in general, these stock markets are co-integrated with one or more international indexes.

Keywords: financial integration; stock markets; structure breaks. (search for similar items in EconPapers)
JEL-codes: F36 F37 G15 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2013-01
New Economics Papers: this item is included in nep-ara, nep-fmk and nep-tra
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