What guides Central and Eastern European stock markets? A view from detrended methodologies

Paulo Ferreira

Post-Communist Economies, 2018, vol. 30, issue 6, 805-819

Abstract: The geopolitical and economic landscape of Central and Eastern European (CEE) countries has changed dramatically since the 1990s. The fragmentation of some countries and the change from communist regimes to capitalist ones transformed those countries. In this context, we propose to study 16 CEE stock markets, in relation to China, Germany, Russia and the UK, using the correlation coefficient of DCCA and DMCA. The results show that most stock markets (about 60%) are more related to the Russian one than to other European markets, even in the case of European Union members. The Bosnian, Slovakian and Latvian stock markets show evidence of segmentation, which could be interesting for portfolio managers, in terms of diversification.

Date: 2018
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://hdl.handle.net/10.1080/14631377.2018.1460155 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:pocoec:v:30:y:2018:i:6:p:805-819

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/CPCE20

DOI: 10.1080/14631377.2018.1460155

Access Statistics for this article

Post-Communist Economies is currently edited by Roger Clarke

More articles in Post-Communist Economies from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().