 Integration of the Baltic stock markets with developed European marketsKersti Harkmann International Journal of Finance & Economics, 2022, vol. 27, issue 1, 506-517 Abstract: This paper examines the extent of integration of the Baltic stock markets with the financial markets in Western Europe. The long‐run relationships between the stock markets of the Baltic States and selected developed stock markets are studied by means of cointegration analysis on the weekly returns. For the Baltic stock markets and key indices from the European markets, the empirical results over period 2005–2015 provide clear evidence that the Baltic stock markets are integrated with the Swedish stock market, and that this cointegrating relationship implies transmission of shocks from Sweden to the Baltic States. The cointegration analysis is also conducted for rolling windows over consequent sub‐samples, which only verifies the robustness of the integration between the stock markets of the Baltic States and Sweden. Given that there is no support for the long‐term relationships between the Baltic market and euro area, it may be that Baltic markets offer diversification benefits for the euro area indices. Date: 2022 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:wly:ijfiec:v:27:y:2022:i:1:p:506-517 Ordering information: This journal article can be ordered from Access Statistics for this article International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd. |
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