EconPapers    
Economics at your fingertips  
 

An Empirical Analysis of the Diffusion of Information across Stock Markets of Central and Eastern Europe

Ovidiu Stoica (), Mark J. Perry and Seyed Mehdian

Prague Economic Papers, 2015, vol. 2015, issue 2, 192-210

Abstract: In this paper, we examine the efficiency of the transmission of information across the stock markets of Bulgaria, the Czech Republic, Hungary, Poland, Romania, and Slovakia, as well as the relative importance and influence of advanced equity markets of Germany and France on the abovementioned markets. The analysis is carried out using maximum likelihood regressions, Generalized Autoregressive Conditional Heteroskedastic (GARCH) models, and vector autoregression (VAR) estimations. The empirical results suggest that the Central and Eastern European stock markets react to the arrival of price innovations from Germany and France, but national stock market price innovations account for more error variance compared to those of Germany and France, and generally show an increasing responsiveness over time, which could be interpreted as progress in the European financial integration.

Keywords: European integration; diffusion of information; integration of equity markets; entral and Eastern European countries (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed

Downloads: (external link)
http://pep.vse.cz/doi/10.18267/j.pep.508.html (text/html)
http://pep.vse.cz/doi/10.18267/j.pep.508.pdf (application/pdf)
free of charge

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:prg:jnlpep:v:2015:y:2015:i:2:id:508:p:192-210

Ordering information: This journal article can be ordered from
Editorial office Prague Economic Papers, University of Economics, nám. W. Churchilla 4, 130 67 Praha 3, Czech Republic
http://pep.vse.cz

DOI: 10.18267/j.pep.508

Access Statistics for this article

Prague Economic Papers is currently edited by Klára Pavlová

More articles in Prague Economic Papers from Prague University of Economics and Business Contact information at EDIRC.
Bibliographic data for series maintained by Stanislav Vojir ().

 
Page updated 2020-10-30
Handle: RePEc:prg:jnlpep:v:2015:y:2015:i:2:id:508:p:192-210