New empirical evidence on CEE's stock markets integration

Claudiu Boţoc and Sorin Anton ()

The World Economy, 2020, vol. 43, issue 10, 2785-2802

Abstract: The main aim of the study was to explore the integration of CEE’s stock markets (Central, South‐East and Baltic) with those of the developed ones (Germany, USA and the UK). Using daily data from 20 October 2000 up to 20 October 2016, the static analysis indicates a long‐run cointegration relationship between CEE markets and all three counterparts considered. The dynamic analysis indicates several short‐run episodes of cointegration, which are influenced by nondomestic factors. When comparing among the counterparts, one can highlight that the US stock market is less integrated with emerging markets, which could be considered for portfolio diversification. Furthermore, the contagion effect is not rejected, given that the dynamic pairwise correlations are likely to be affected by herding behaviour and significant break dates.

Date: 2020
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