Stock Market Integration Between Three CEECs

Guglielmo Maria Caporale and Nicola Spagnolo

Journal of Economic Integration, 2012, vol. 27, 115-122

Abstract: This paper estimates a trivariate VAR-GARCH(1,1) model to examine volatility linkages between the stock markets of three Central and Eastern European countries (CEECs), namely the Czech Republic, Hungary and Poland. The empirical .findings suggest that following the EU accession regional linkages have become even stronger, and that therefore portfolio diversification within the region has become an even less effective investment strategy. This can be plausibly interpreted as reflecting deeper integration with the "old" EU economies, and has important implications for appropriate policy responses to shocks originating in those countries and affecting the .financial stability of the CEECs.

Keywords: Central and Eastern European Countries (CEECs); Volatility Spillovers; VAR-GARCH Model (search for similar items in EconPapers)
JEL-codes: C32 F36 G15 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:ris:integr:0562

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