STOCK MARKET COMO VEMENT IN THE EUROPEAN UNION AND TRANSITION COUNTRIES

Barry Harrison and Winston Moore
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Barry Harrison: Nottingham Business School Nottingham Trent University, Burton Street, Nottingham NG1 4BU, UK

Studii Financiare (Financial Studies), 2009, vol. 13, issue 3, 124-151

Abstract: This paper investigates stock market convergence of Central and Eastern European (CEE) countries to the rest of Europe. Three approaches are used to obtain time-varying estimates of the comovement between returns on CEE and EU stock exchanges: (1) realised correlation analysis; (2) rolling unit root tests, and; (3) recursive cointegration tests. The results suggest that there is a relatively weak correlation between stock markets in CEE countries and those in Europe. However, the link between the exchanges has strengthened since 2002. This finding is robust to changes in the reference stock exchange.

Keywords: Comovement; CEE countries; stock market (search for similar items in EconPapers)
JEL-codes: F36 G15 P34 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:vls:finstu:v:13:y:2009:i:3:p:124-151

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