Non-Linear Stock Market Co-Movement in Central and East European Countries

Barry Harrison and Winston Moore

Chapter 6 in Money, Banking and Financial Markets in Central and Eastern Europe, 2010, pp 119-138 from Palgrave Macmillan

Abstract: Abstract As a result of financial globalisation, interest has grown in the extent of stock market integration between different countries. Stock markets can be considered integrated if their prices have a tendency to move together, or if one market leads another. The results of such investigations have important implications for portfolio diversification along international lines. In particular, significant co-movement of international stock markets increases the exposure of domestic investors to foreign shocks and therefore offers very limited scope for gains from international diversification. Also, an understanding of the determinants of stock market co-movement might aid understanding of the home country bias that investors exhibit (Lewis 1999), that is, the preference of investors for domestic investments over foreign investments.

Keywords: Stock Market; Market Integration; Stock Market Return; Stock Market Index; International Stock Market (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:pal:pmschp:978-0-230-30221-1_6

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DOI: 10.1057/9780230302211_6

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