International Stock Market Integration: Central and South Eastern Europe Compared

Roman Horvath and Dragan Petrovski

No 317, Working Papers from Leibniz Institut für Ost- und Südosteuropaforschung (Institute for East and Southeast European Studies)

Abstract: We examine the international stock market comovements between Western Europe vis-à-vis Central (the Czech Republic, Hungary and Poland) and South Eastern Europe (Croatia, Macedonia and Serbia) using multivariate GARCH models in 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. The exemption to this regularity is Croatia with its stock market displaying a greater degree of integration towards 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 this group of countries.

Keywords: stock market comovements; Central and South Eastern Europe; GARCH (search for similar items in EconPapers)
JEL-codes: C22 C32 G15 (search for similar items in EconPapers)
Pages: 17
Date: 2012-07
New Economics Papers: this item is included in nep-tra
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Citations: View citations in EconPapers (7)

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Related works:
Journal Article: International stock market integration: Central and South Eastern Europe compared (2013)
Working Paper: International Stock Market Integration: Central and South Eastern Europe Compared (2012)
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