Universitat Rovira i Virgili
Universitat Rovira i Virgili. Departament d'Economia
2008
This paper measures the degree in stock market integration between five Eastern European countries and the Euro-zone. A potentially gradual transition in correlations is accommodated by smooth transition conditional correlation models. We find that the correlation between stock markets has increased from 2001 to 2007. In particular, the Czech and Polish markets show a higher correlation to the Euro-zone. However, this is not a broad-based phenomenon across Eastern Europe. We also find that the increase in correlations is not a reflection of a world-wide phenomenon of financial integration but appears to be specific to the European market. JEL classifications: C32; C51; F36; G15 Keywords: Multivariate GARCH; Smooth Transition Conditional Correlation; Stock Return Comovement; New EU Members.
English
339 - Trade. Commerce. International economic relations. World economy
Anàlisi de sèries temporals; Models economètrics; Integració econòmica; Integració europea; Finances internacionals; Europa de l'Est; Ampliació de la Unió Europea
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Documents de treball del Departament d'Economia; 2008-10
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