Effects of Global Incidents on Dynamic Correlations of Emerging European Countries

Dogus Emin ()
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Dogus Emin: Social Sciences University of Ankara, Turkey

Eurasian Journal of Economics and Finance, 2016, vol. 4, issue 1, 1-23

Abstract: This paper aims to investigate the international integration of stock markets of emerging European countries with the world market and to analyse the evolution of the integration levels in the case of four global/regional incidents; the 1998 Russian crisis, the 2001 Dotcom crisis and 9/11 shocks, the 2004 EU enlargement, and the 2007-2009 global financial crisis. The findings show that volatilities of the stock markets and correlation structures of those markets with the world market significantly change due to the impacts of global/regional incidents. Although, it is obvious that each incident has differential impact on each country depending on the internal dynamics of those countries at the times of incidents, the findings still clearly reveal the general common impacts of the investigated incidents on the return volatilities and the correlation structures of the sample countries with the world market.

Keywords: Dynamic Correlation; Stock Market Integration; Crisis; Emerging Europe (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (4)

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