Contagion Across and Integration of Central and Eastern European Stock Markets: Evidence from Intraday Data

Balázs Égert and Evžen Kočenda

No wp798, William Davidson Institute Working Papers Series from William Davidson Institute at the University of Michigan

Abstract: We analyze interrelations between three stock markets in Central and Eastern Europe and, in addition, interconnections which may exist between Western European (DAX, CAC, UKX) and Central and Eastern European stock markets (BUX, PX-50, WIG20). The novelty of our paper rests mainly on the use of the five-minute tick intraday price data from the mid-2003 to the early 2005 for stock indices and on the wide range of econometric techniques employed. We find no robust cointegration relationship for any of the stock index pairs or for any of the extended specifications. There are signs of short-term spillover effects both in terms of stock returns and stock price volatility. Granger causality tests show the presence of bidirectional causality for returns as well as volatility series. The results based on a VAR framework indicate a more limited number of short-term relationships between the stock markets. In general, it appears that spillover effects are stronger from volatility to volatility than contagion effects from return to return series.

Keywords: contagion and spillover effects; market integration; European emerging markets; intra-day data (search for similar items in EconPapers)
JEL-codes: C22 F36 G15 O16 P59 (search for similar items in EconPapers)
Pages: pages
Date: 2005-11-01
New Economics Papers: this item is included in nep-eec, nep-fin, nep-fmk, nep-rmg and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Related works:
Journal Article: Interdependence between Eastern and Western European stock markets: Evidence from intraday data (2007)
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