Financial Integration of Stock Markets among New EU Member States and the Euro Area

Ian Babetskii (), Lubos Komarek () and Zlatuse Komarkova ()
Additional contact information
Ian Babetskii: Czech National Bank, http://www.cnb.cz/cz/index.html
Authors registered in the RePEc Author Service: Jan Babecký

Czech Journal of Economics and Finance (Finance a uver), 2007, vol. 57, issue 7-8, 341-362

Abstract: The paper considers the empirical dimension of financial integration among stock-exchange markets in four new European Union member states (Czech Republic, Hungary, Poland, and Slovakia) in comparison with the euro area. The main objective is to test for the existence and determine the degree of the four states’ financial integration relative to the euro currency union. The analysis is performed at the country level (using national stock-exchange indices) and at the sectoral level (considering banking, chemical, electricity, and telecommunication indices). Our empirical evaluation consists of (1) a harmonization analysis (by means of standard and rolling correlation analysis) to outline the overall pattern of integration; (2) the application of the concept of beta convergence (through the use of time series, panel, and state-space techniques) to identify the speed of integration; and (3) the application of so-called sigma convergence to measure the degree of integration. We find evidence of respective stock-market integration on both national and sectoral levels between the Czech Republic, Hungary, Poland, and the euro area.

Keywords: beta convergence; new EU member states; sigma convergence; stock markets (search for similar items in EconPapers)
JEL-codes: C23 G12 G15 (search for similar items in EconPapers)
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (45)

Downloads: (external link)
http://journal.fsv.cuni.cz/storage/1083_fau_7_8_2007_000000000039.pdf (application/pdf)

Related works:
Working Paper: Financial Integration of Stock Markets among New EU Member States and the Euro Area (2008)
Working Paper: Financial Integration of Stock Markets among New EU Member States and the Euro Area (2008)
Working Paper: Financial Integration of Stock Markets among New EU Member States and the Euro Area (2007)
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:fau:fauart:v:57:y:2007:i:7-8:p:341-362

Access Statistics for this article

More articles in Czech Journal of Economics and Finance (Finance a uver) from Charles University Prague, Faculty of Social Sciences Contact information at EDIRC.
Bibliographic data for series maintained by Natalie Svarcova ().