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.accessioned
2024-12-10T13:30:47Z
dc.date.available
2009-01-19T16:38:26Z
dc.date.available
2024-12-10T13:30:47Z
dc.identifier.issn
1988 - 0812
dc.identifier.other
T - 1618 - 2008
dc.identifier.uri
http://hdl.handle.net/2072/13263
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.
cat
dc.format.extent
353877 bytes
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application/pdf
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
