International Stock Market Integration: Central and South Eastern Europe Compared

Roman Horvath and Dragan Petrovski

No wp1028, William Davidson Institute Working Papers Series from William Davidson Institute at the University of Michigan

Abstract: We examine the international stock market comovements between Western Europe vis-à-vis Central (the Czech Republic, Hungary and Poland) and South Eastern Europe (Croatia, Macedonia and Serbia) using multivariate GARCH models in 2006-2011. Comparing these two groups, we find that the degree of comovements is much higher for Central Europe. The correlation of South Eastern European stock markets with developed markets is essentially zero. The exemption to this regularity is Croatia with its stock market displaying a greater degree of integration towards Western Europe recently, but still below the levels typical for Central Europe. All stock markets fall strongly at the beginning of the global financial crisis and we do not find that the crisis altered the degree of stock market integration between this group of countries.

Keywords: stock market comovements; Central and South Eastern Europe; GARCH (search for similar items in EconPapers)
JEL-codes: C22 C32 G15 (search for similar items in EconPapers)
Pages: pages
Date: 2012-02-01
New Economics Papers: this item is included in nep-cba, nep-fmk and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

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Related works:
Journal Article: International stock market integration: Central and South Eastern Europe compared (2013)
Working Paper: International Stock Market Integration: Central and South Eastern Europe Compared (2012)
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