Time†Varying World and Regional Integration in Emerging European Equity Markets

Ming†Chieh Wang and Feng†Ming Shih

European Financial Management, 2013, vol. 19, issue 4, 703-729

Abstract: This study investigates time†varying world and regional integration in emerging European markets. Categorising global and regional effects into return and volatility spillovers, we also examine the impact of time variation in these spillover effects based on the conditions of economic growth. Our results show that growth and currency depreciation can predict the degree of integration and spillover effects for these markets. The impact of growth on the level of regional integration is greater in countries with floating exchange rate regimes than in those with exchange controls. The world effect on European returns is stronger when the developed European region is in a recession. However, regional effects on the volatility of emerging European markets are greater during faster growth or weaker than expected economic growth.

Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:bla:eufman:v:19:y:2013:i:4:p:703-729

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