Stock Market Integration between three CEECs, Russia and the UK

Guglielmo Maria Caporale and Nicola Spagnolo

No 2978, CESifo Working Paper Series from CESifo

Abstract: This paper estimates a tri-variate VAR-GARCH(1,1)-in-mean model to examine linkages between the stock markets of three Central and Eastern European countries (CEECs), specifically the Czech Republic, Hungary, and Poland, and both the UK and Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by testing for possible shifts in the transmission of volatility following the introduction of the euro and EU accession. Further evidence on possible changes in the transmission mechanism (namely, on whether there is contagion) can be obtained by examining the conditional correlations implied by the estimated model over different time periods. The empirical findings suggest that there is significant co-movement (interdependence) of these CEEC markets with both the Russian and the UK ones. Furthermore, whilst the introduction of the euro has had mixed effects, EU accession has resulted in an increase in volatility spillovers between the three CEECs considered and the UK (contagion).

Keywords: Central and Eastern European countries (CEECs); volatility spillovers; interdependence; contagion; VAR-GARCH-in-mean model (search for similar items in EconPapers)
JEL-codes: C32 F36 G15 (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Journal Article: Stock Market Integration between Three CEECs, Russia, and the UK (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_2978

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