Stock market integration between new EU member
states and the Euro-zone

Home | About RECERCAT | Contact

Català | Castellano

All of RECERCAT

By Communities &
Collections By Defense Date By Authors By Titles By Subject

This Collection

By Defense Date By Authors By Titles By Subject

Statistics

View Statistics All RECERCAT

My RECERCAT

Other repositories directory

RECERCAT Home > Universitat Rovira i Virgili > Departament d'Economia > Documents de treball del Departament d'Economia > View document

Use this identifier to quote or link this document: http://hdl.handle.net/2072/13263

dc.contributor	Universitat Rovira i Virgili. Departament d'Economia
dc.contributor.author	Aslanidis, Nektarios
dc.contributor.author	Savva, Christos S.
dc.date.accessioned	2009-01-19T16:38:26Z
dc.date.available	2009-01-19T16:38:26Z
dc.date.created	2008
dc.date.issued	2008
dc.identifier.issn	1988 - 0812
dc.identifier.other	T - 1618 - 2008
dc.identifier.uri	http://hdl.handle.net/2072/13263
dc.format.extent	25
dc.format.extent	353877 bytes
dc.format.mimetype	application/pdf
dc.language.iso	eng
dc.relation.ispartofseries	Documents de treball del Departament d'Economia;2008-10
dc.rights	Aquest document està subjecte a una llicència d'ús de Creative Commons, amb la qual es permet copiar, distribuir i comunicar públicament l'obra sempre que se'n citin l'autor original, la universitat i el departament i no se'n faci cap ús comercial ni obra derivada, tal com queda estipulat en la llicència d'ús (http://creativecommons.org/licenses/by-nc-nd/2.5/es/)
dc.subject.other	Anàlisi de sèries temporals
dc.subject.other	Models economètrics
dc.subject.other	Integració econòmica
dc.subject.other	Integració europea
dc.subject.other	Finances internacionals
dc.subject.other	Europa de l'Est
dc.subject.other	Ampliació de la Unió Europea
dc.title	Stock market integration between new EU member states and the Euro-zone
dc.type	info:eu-repo/semantics/workingPaper
dc.subject.udc	339 - Comerç. Relacions econòmiques internacionals. Economia mundial. Màrqueting
dc.description.abstract	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.

Full text files in this document

Files	Size	Format
DT.2008-10 electr.pdf	353.8 KB	PDF

Show simple item record

All of RECERCAT

This Collection

Statistics

My RECERCAT

Full text files in this document

Related documents

Other documents of the same author