Are Capital Markets Integrated? A Test of Information Transmission within the European Union
Alexandra Horobet (alexandra.horobet@rei.ase.ro) and
Radu Lupu (radu.lupu@rei.ase.ro)
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Alexandra Horobet: Academy of Economic Studies Bucharest, Faculty of International Business and Economics
Journal for Economic Forecasting, 2009, vol. 6, issue 2, 64-80
Abstract:
Central and Eastern European (CEE) stock markets have gradually attracted international investors’ attention after 1990, and their integration into the European capital market will lead to increased maturity of these markets, accompanied by higher attractiveness to international investors. The paper analyses the stock markets of five emerging countries from the CEE region – the Czech Republic, Hungary, Poland, Romania and the Russian Federation – as against four major European Union markets – Austria, France, Germany and the United Kingdom – over the 2003-2007 period and aims at identifying the speed and significance of information transmission among them, as embedded in stock market returns. By employing co-integration and Granger causality tests with different data frequencies, we investigate the long- and short-run relationships among these markets and interpret the findings in the context of international capital market integration.
Keywords: European Union; capital market; emerging markets; co-integration; Granger causality (search for similar items in EconPapers)
JEL-codes: F15 F21 G11 G15 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (14)
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Persistent link: https://EconPapers.repec.org/RePEc:rjr:romjef:v:6:y:2009:i:2:p:64-80
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