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Market integration among foreign exchange rate movements in central and eastern European countries

Author

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  • Ngo Thai Hung

    (Faculty of Economics and Law, University of Finance-Marketing, Ho Chi Minh City, Vietnam)

Abstract

This study focuses on the level of interdependence across the Central and Eastern European (CEE) foreign exchange markets (Hungary, Poland, the Czech Republic, Romania and Croatia) from September 2008 to September 2017, using the return spillover measure proposed by Diebold and Yilmaz (2009; 2012). We mainly find a bidirectional volatility spillover among these assets and the cross-market linkages in the CEE region have become stronger over time. Furthermore, the Czech exchange market has a significant influence on the rest of the foreign exchange markets. The total spillover remained very high over the periods 2010–2012 and 2015–2017, despite the noteworthy fluctuations in other periods. These results would also be useful for portfolio managers, policy makers and speculative traders to develop exploitable strategies, by providing knowledge of the transmission mechanisms of the volatility of foreign exchange markets. The results may support the distribution of assets in a financial portfolio, especially after financial integration.

Suggested Citation

  • Ngo Thai Hung, 2020. "Market integration among foreign exchange rate movements in central and eastern European countries," Society and Economy, Akadémiai Kiadó, Hungary, vol. 42(1), pages 1-20, March.
    • Handle: RePEc:aka:soceco:v:42:y:2020:i:1:p:1-20
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    References listed on IDEAS

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    Cited by:

    1. Ngo Thai Hung, 2021. "Directional Spillover Effects Between BRICS Stock Markets and Economic Policy Uncertainty," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(3), pages 429-448, September.
    2. Yadav, Miklesh Prasad & Sharif, Taimur & Ashok, Shruti & Dhingra, Deepika & Abedin, Mohammad Zoynul, 2023. "Investigating volatility spillover of energy commodities in the context of the Chinese and European stock markets," Research in International Business and Finance, Elsevier, vol. 65(C).
    3. Hung, Ngo Thai, 2021. "Oil prices and agricultural commodity markets: Evidence from pre and during COVID-19 outbreak," Resources Policy, Elsevier, vol. 73(C).

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    More about this item

    Keywords

    exchange rates; volatility spillovers; spillover index; CEE countries;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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