Statistical Properties of the CEE Stock Market Dynamics. A Panel Data Analysis

Barry Harrison (), Radu Lupu () and Iulia Lupu
Additional contact information
Barry Harrison: Nottingham Business School, Nottingham Trent University

Romanian Economic Journal, 2010, vol. 13, issue 37, 41-54

Abstract: The importance of Central and Eastern European (CEE) stock markets grew after 1990 as they were gradually used as diversification instruments for the foreign investors as well as due to the general expectation of their integration within the European capital market. This development generated an increasing body of literature issued with the aim to analyze the properties of these markets both in terms of performance and integration on one hand and diversification and risk management on the other hand. The paper focuses on the stock market indices of ten emerging countries from the CEE region – Slovenia, Slovak Republic, Estonia, Latvia, Lithuania, Bulgaria, Czech Republic, Romania, Hungary and Poland –over the 1994-2006 period and aims at identifying the properties of their dynamics in a panel data analysis. We found evidence of stationarity for the returns of these indices and identified some common characteristics of these markets taken as a whole.

Keywords: Nonlinearities; Stock Markets; Central and Eastern European Countries (search for similar items in EconPapers)
JEL-codes: C10 (search for similar items in EconPapers)
Date: 2010
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.rejournal.eu/sites/rejournal.versatech. ... e37-harrisonlupu.pdf (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:rej:journl:v:13:y:2010:i:37:p:41-54

Access Statistics for this article

Romanian Economic Journal is currently edited by Ioan Popa, PhD

More articles in Romanian Economic Journal from Department of International Business and Economics from the Academy of Economic Studies Bucharest Contact information at EDIRC.
Bibliographic data for series maintained by Radu Lupu ().