|Rousova, Linda (2009): Are the Central European Stock Markets Still Different? A Cointegration Analysis. Discussion Papers in Economics 2009-15|
The Central European countries became members of the European Union (EU) in May 2004. Has their accession into the EU also resulted in a stronger financial integration with the global economy in general and with the "old" EU countries in particular? Based on a cointegration analysis applied to stock market movements, I detect for the period after the EU enlargement two new long-run equilibrium relations that indeed suggest a stronger inter-dependence of the markets, whereas no such relations can be observed before this date. In particular, one new relation links the Central European markets to the Western European market, reflecting tighter co-movements of the "new" and the "old" EU markets. The second relation points at the role of the US market for both the Central and the Western European markets.
|Item Type:||Paper (Discussion Paper)|
|Keywords:||Transition Economies, Emerging stock markets, Central Europe, European integration, Cointegration, Long-run stock market linkages|
Economics > Discussion Papers in Economics
Economics > Discussion Papers in Economics > Transition Economics
|Subjects:||300 Social sciences > 300 Social sciences, sociology and anthropology|
300 Social sciences > 330 Economics
|JEL Classification:||C5, F36, G11, G15|
|Deposited On:||08. Sep 2009 12:03|
|Last Modified:||25. May 2012 11:16|
Anderson, T. W., 2003. An Introduction to Multivariate Statistical Analysis, 3rd Edition. John Wiley and Sons.
Bessler, D. A., Yang, J., 2003. The Structure of Interdependence in International Stock Markets. Journal of International Money and Finance 22, 261–287.
Buiter, W., 2004. To Purgatory and Beyond: When and How Should the Accession Countries from the Central and Eastern Europe Become Full Members of the EMU? CEPR Discussion Paper nr. 4342, Centre for Economic Policy Research.
Buiter, W., Grafe, C., 2002. Anchor, Float or Abandoned Ship: Exchange Rate Regimes for Accession Countries. CEPR Discussion Paper nr. 3184, Centre for Economic Policy Research.
Doornik, J., Hansen, H., 2008. An Omnibus Test for Univariate and Multivariate Normality. Oxford Bulletin of Economics and Statistics 70, 927–939.
Dvorak, T., Podpiera, R., 2006. European Union Enlargement and Equity Markets in Accession Countries. Emerging Markets Review 7 (2), 129–146.
Egert, B., Kocenda, E., 2007. Interdependence between Eastern and Western European Stock Markets: Evidence from Intraday Data. Economic Systems 31 (2), 184–203.
Eun, C. S., Shim, S., 1989. International Transmission of Stock Market Movements. Journal of Financial and Quantitative Analysis 24, 241–256.
Frisch, R., Waugh, F., 1933. Partial Time Regressions as Compared with Individual Trends. Econometrica 45, 939–953.
Gilmore, C. G., McManus, G. M., 2002. International Portfolio Diversification: US and Central European Equity Markets. Emerging Markets Review 3, 69–83.
Gilmore, C. G., McManus, G. M., 2003. Bilateral and Multilateral Cointegration Properties between the German and Central European Equity Markets. Studies in Economics and Finance 21, 40–53.
Gonzalo, J., 1994. Five Alternative Methods of Estimating a Long Run Relationship. Journal of Econometrics 60, 203–233.
Hanousek, J., Kocenda, E., Svejnar, J., 2009. Divestitures, Privatization and Corporate Performance in Emerging Markets. The Economics of Transition 17 (1), 43–73.
IMF, 2008a. Direction of Trade Statistics, Yearbook. Washington, DC.
IMF, 2008b. International Financial Statistics, Yearbook. Washington, DC.
IMF, 2009. International Financial Statistics, Monthly Issue June. Washington, DC.
Jochum, C., Kirchgassner, G., Platek, M., 1999. A Long-run Relationship between Eastern European Stock Markets?Cointegration and the 1997/1998 Crises in Emerging Markets. Review of World Economics 135, 454–479.
Johansen, S., 1991. Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica 59, 1551–1580.
Johansen, S., 1996. Likelihood Based Inference in Cointegrated Vector Autoregressive Models, 2nd Edition. Advanced Texts in Econometrics. Oxford University Press.
Johansen, S., 2002. A Small Sample Correction of the Test for Cointegration Rank in the Vector Autoregressive Model. Econometrica 70, 1929–1961.
Juselius, K., 2007. The Cointegrated VAR Model: Methodology and Applications. Oxford University Press.
Kasa, K., 1992. Common Stochastic Trends in International Stock Markets. Journal of Monetary Economics 29, 95–124.
Kocenda, E., Kutan, A. M., Yigit, T. M., 2006. Pilgrims to the Eurozone: How far, how fast? Economic systems 30, 311–327.
Koch, P. D., Koch, T.W., 1991. Evolution in Dynamic Linkages across Daily National Stock Indexes. Journal of International Money and Finance 10, 231–251.
Koeke, J., Schroeder, M., 2003. The Prospects of Capital Markets in Central and Eastern Europe. Eastern European Economics 41 (4), 5–37.
Lankes, H. P., Stern, N., 1999. Capital Flows to Eastern Europe. In: Feldstein, M. (Ed.), International Capital Flows. National Bureau of Economic Research, pp. 57–96.
Lee, T., Tse, Y., 1996. Cointegration Tests with Conditional Heteroscedasticity. Journal of Econometrics 73, 401–410.
Longin, F., Solnik, B., 1995. Is the Correlation of International Equity Returns Constant? Journal of International Money and Finance 14, 3–26.
Marin, D., 2004. ’A Nation of Poets and Thinkers’ – Less So with Eastern Enlargement? Austria and Germany. Discussion Papers in Economics nr. 329, University of Munich, Department of Economics, http://ideas.repec.org/p/lmu/muenec/329.html.
Masih, A. M. M., Masih, R., 1992. A Comparative Analysis of the Propagation of Stock Market Fluctuations in Alternative Models of Dynamic Causal Linkages. Applied Financial Economics 7, 59–74.
McKinnon, R., 1999. Toward Virtual Exchange-rate Stability in Western and Eastern Europe with the Advent of the EMU. In: Blejer, M. I., Škreb, M. (Eds.), Balance of Payments, Exchange Rates, and Competitiveness in Transition Economies. Springer US, pp. 131–158.
Mora, N., Garibaldi, P., Sahay, R., Zettelmeyer, J., 2002. What Moves Capital to Transition Economies? IMF Working Papers 02/64, International Monetary Fund, http://ideas.repec.org/p/imf/imfwpa/02-64.html.
Nielsen, H. B., 2004. UK Money Demand 1873-2001: A Cointegrated VAR Analysis with Additive Data Corrections. Discussion Papers 04-21, University of Copenhagen. Department of Economics, http://ideas.repec.org/p/kud/kuiedp/0421.html.
Rao, C. R., 1973. Linear Statistical Inference and its Applications, 2nd Edition. John Wiley and Sons.
Standard & Poor’s, 2002. Emerging Stock Markets Factbook. New York.
Standard & Poor’s, 2008. Global Stock Markets Factbook. New York.
Syllignakis, M. N., Kouretas, G. P., 2009. German, US and Central and Eastern European Stock Market Integration. Open Economies ReviewOnline First.
Syrioupoulus, T., 2006. Risk and Return Implications from Investing in Emerging European Stock Markets. Journal of International Financial Markets, Institutions and Money 16, 283–299.
Taylor, M. P., Tonks, I., 1989. The Internationalisation of Stock Markets and the Abolition of U. K. Exchange Control. The Review of Economics and Statistics 71, 332–336.
Voronkova, S., 2004. Equity Market Integration in Central European Emerging Markets: A Cointegration Analysis with Shifting Regimes. International Review of Financial Analysis 13, 633–647.
Yang, J., Hsiao, C., Li, Q., Wang, Z., 2006. The Emerging Market Crises and Stock Market Linkages: Further Evidence. Journal of Applied Econometrics 21, 727–744.