How smooth is the stock market integration of CEE-3?
Eduard Baum??hl () and
??tefan Ly??csa ()
Authors registered in the RePEc Author Service: Eduard Baumöhl () and
Štefan Lyócsa ()
No wp1079, William Davidson Institute Working Papers Series from William Davidson Institute at the University of Michigan
We study the stock market integration of emerging CEE-3 stock markets (namely, the Czech, Hungarian, and Polish markets) and hypothesize that this process has been gradual over time. As a proxy for integration, co-movements with three stock market indices that represent the developed markets (i.e., MSCI Germany, the Dow Jones Euro Stoxx 50, and MSCI World) are estimated using the standard, asymmetric, and corrected DCC-GARCH model. A smooth transition logistic trend model is then fitted to the dynamic correlations to examine the integration process. Evidence of strengthening relationships among the markets under study is provided.
Keywords: stock market integration; dynamic conditional correlations; CEE-3 countries; smooth transition model (search for similar items in EconPapers)
JEL-codes: C32 G01 G15 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:wdi:papers:2014-1079
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