The Comovements of Stock Markets in Hungary, Poland and the Czech Republic
International Journal of Finance & Economics, 2001, vol. 6, issue 1, 27-39
In this paper, we study the regional and global integration of stock markets in Hungary, Poland and the Czech Republic. We estimate a vector autoregression with a multivariate GARCH component and perform a variety of diagnostic tests. Our main empirical result is the existence of limited interaction: in returns we identify both regional and global shocks, but innovations to volatility have a primarily regional character. We document low correlations to international markets and discuss the economic significance of the inter-market dynamics. Copyright @ 2001 by John Wiley & Sons, Ltd. All rights reserved.
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Persistent link: https://EconPapers.repec.org/RePEc:ijf:ijfiec:v:6:y:2001:i:1:p:27-39
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