A Co-integration Analysis Approach to European Union Integration: The Case of Acceding and Candidate Countries

Ceylan Onay

European Integration online Papers (EIoP), 2006, vol. 10

Abstract: This paper examines the long-term financial integration of second-round acceding and candidate countries’ with the European Union and the US stock markets during the Accession Process. The lowpair wise correlations between these markets imply portfolio diversification opportunities, yet correlation is a short-term measure. The long-term stock market interdependence is analyzed with Johansen (1991) cointegration approach, which indicates no long-term relationship between the second-round countries and the EU and US stock markets. Yet Engle-Granger (1987) causality test presents evidence of a casual flow from European and US equity markets to Croatian stock market and from Turkish Stock market to Bulgarian stock market suggesting a short-term lead-lag relationship amongst. The results indicate that the completion of accession negotiations with Bulgaria and Romania and ongoing negotiations with Croatia and Turkey have not yet resulted in the complete financial integration of these markets with the European Union. They still offer significant long-term diversification opportunities for the European as well as the US investors.

Keywords: economic integration; financial markets; enlargement; globalization; international trade; EMU; liberalization; East-Central Europe; EU-East-Central Europe; Euro; economics (search for similar items in EconPapers)
Date: 2006-09-08
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://eiop.or.at/eiop/texte/2006-007a.htm Abstract (text/html)
http://eiop.or.at/eiop/pdf/2006-007.pdf Full text (application/pdf)

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:erp:eiopxx:p0150

Ordering information: This journal article can be ordered from
http://eiop.or.at/eiop/

Access Statistics for this article

European Integration online Papers (EIoP) is currently edited by Gerda Falkner

More articles in European Integration online Papers (EIoP) from European Community Studies Association Austria (ECSA-A) Contact information at EDIRC.
Bibliographic data for series maintained by Editorial Assistant ( this e-mail address is bad, please contact ).