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Integration Of The Selected See Equity Markets: Cointegration Approach

Author

Listed:
  • Assist. Prof. Dragan Tevdovski Ph.D.

    (University “Ss. Cyril and Methodius” Faculty of Economics)

  • Prof. Slave Risteski Ph.D.

    (University “Ss. Cyril and Methodius” Faculty of Economics)

Abstract

The purpose of this paper is to examine the integration of selected Central and Eastern European equity markets for the period of January 2nd, 2005 to December 30th 2008. The cointegration tests according the Johansen methodology suggest: (1) existence of multilateral integration between selected SEE equity markets, and (2) existence of multilateral integration between the group of selected SEE equity markets and the leading European equity index (FTSE). Error Correction Model is developed to deals with the long-run equilibrium relationships, while providing the possibility of short run divergence. The model allows finding the lead-lag relationships between market indices, or how the turning points in one series precede turning points in the other. These findings have important applications for investors. Integration of the markets implies that there are fewer opportunities to diversify portfolios within the examined markets. The investors should focus more on diversifying across sectors or across regions.

Suggested Citation

  • Assist. Prof. Dragan Tevdovski Ph.D. & Prof. Slave Risteski Ph.D., 2010. "Integration Of The Selected See Equity Markets: Cointegration Approach," Revista Tinerilor Economisti (The Young Economists Journal), University of Craiova, Faculty of Economics and Business Administration, vol. 1(15S), pages 137-146, November.
    • Handle: RePEc:aio:rteyej:v:1:y:2010:i:15s:p:137-146
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    cointegration; error correction model; equity markets; SEE;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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