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Revisiting stock market integration in Central and Eastern European stock markets with a dynamic analysis

Oussama Tilfani (), Paulo Ferreira () and My Youssef El Boukfaoui

Post-Communist Economies, 2020, vol. 32, issue 5, 643-674

Abstract: Considering the importance of continuously analysing stock market integration, and based on an earlier study, this paper adopts a sliding windows approach, jointly with the Detrended Cross-Correlation Analysis correlation coefficient, in order to assess the evolution of integration in Central and Eastern European stock markets. With this approach, we are able to analyse stock market integration in a dynamic way. Our results show that the stock markets of the Czech Republic, Hungary, Croatia, Poland and Romania are most integrated, while those of Bosnia, Montenegro, Serbia and Slovakia are less so. Moreover, we found that during crises, levels of integration increased, while the Brexit referendum seems to have had the contrary effect on markets. This is important information for investors, for example, when wanting to build portfolios, but also for authorities, for whom the information about correlations could be important in detecting potential price crashes.

Date: 2020
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DOI: 10.1080/14631377.2019.1678099

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