Modelling change in financial market integration

Nektarios Aslanides, Mardi Dungey and Christos Savva ()

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: This paper measures the increase in stock market integration between the three largest new EU members (Hungary, the Czech Republic and Poland) and the Euro-zone. To achieve this we develop a new model where smooth transition conditional correlation (STCC) models with fat tails, spillovers, volatility clustering, and asymmetric volatility effects (GJRGARCH) are embedded in a single VAR. The specification is directly compared the dynamic conditional correlation (DCC) model of Engle (2002). The results show evidence of financial integration with the EMU in each of the three countries with a considerable increase in correlations in 2006. Tests for a common transition structure of the three markets with the Euro-zone are rejected, due to the differing behaviour of the Czech Republic data.

JEL-codes: C32 C51 F36 G15 (search for similar items in EconPapers)
Pages: 81 pages
Date: 2009-01
References: Add references at CitEc
Citations:

Downloads: (external link)
https://cama.crawford.anu.edu.au/sites/default/fil ... ungey_savva_2009.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2009-07

Access Statistics for this paper

More papers in CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Contact information at EDIRC.
Bibliographic data for series maintained by Cama Admin ().