What Drives the Stock Market Integration in the CEE-3?

Artikel

In this article, we study the possible explanatory power of macroeconomic factors that may drive the stock market integration between the Czech Republic, Poland and Hungary (CEE-3) and developed countries, using Germany as a benchmark. Our findings suggest that the recent global financial crisis has affected time-varying correlations between certain stock markets more substantially than the entry of the CEE-3 into the EU. The results of our analysis of the effects of these macroeconomic factors were inconclusive. Only our proxy of exchange rate risk was significant in all cases, with positive effects on integration, thus supporting the presence of contagion among different markets.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Ekonomicky casopis/Journal of Economics ; ISSN: 0013-3035 ; Volume: 61 ; Year: 2013 ; Issue: 1 ; Pages: 67-81 ; Bratislava: Institute of Economic Research of Slovak Academy of Sciences and Institute for Forecasting of CSPS of Slovak Academy of Sciences

Classification and Topics

• Classification: Wirtschaft ; Financial Crises ; International Financial Markets ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
• Subject: stock market integration ; CEE-3 ; time-varying correlations ; DCC MV-GARCH model ; macroeconomic factors

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Vyrost, Tomas ; Baumöhl, Eduard ; Lyocsa, Stefan
• Event: Veröffentlichung
• (who): Institute of Economic Research of Slovak Academy of Sciences and Institute for Forecasting of CSPS of Slovak Academy of Sciences
• (where): Bratislava
• (when): 2013

Further information

• Handle: http://hdl.handle.net/10419/156176
• Last update: 10.03.2025, 11:46 AM CET