Cointegration and conditional correlations among German and Eastern Europe equity markets

Francesco Guidi and Rakesh Gupta

MPRA Paper from University Library of Munich, Germany

Abstract: This paper aims to examine the long term relationship between German and three Central and Eastern Europe (CEE) equity markets. Application of Johansen as well as Engle-Granger cointegration tests show that there is no long-term relationship among these markets while the Gregory-Hansen cointegration test rejects the null hypothesis of no cointegration with structural break. An additional objective is to capture the time-varying correlation among these markets through the dynamic conditional correlation models. Empirical results suggest that correlations increased after the accession of the CEE countries into the European Union.

Keywords: Equity markets; Cointegration; Dynamic conditional correlation models. (search for similar items in EconPapers)
JEL-codes: C22 C53 G15 (search for similar items in EconPapers)
Date: 2010-01
New Economics Papers: this item is included in nep-fmk, nep-ifn and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:21732

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