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Effects of Global Incidents on Dynamic Correlations of Emerging European Countries

Author

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  • Dogus Emin

    (Social Sciences University of Ankara, Turkey)

Abstract

This paper aims to investigate the international integration of stock markets of emerging European countries with the world market and to analyse the evolution of the integration levels in the case of four global/regional incidents; the 1998 Russian crisis, the 2001 Dotcom crisis and 9/11 shocks, the 2004 EU enlargement, and the 2007-2009 global financial crisis. The findings show that volatilities of the stock markets and correlation structures of those markets with the world market significantly change due to the impacts of global/regional incidents. Although, it is obvious that each incident has differential impact on each country depending on the internal dynamics of those countries at the times of incidents, the findings still clearly reveal the general common impacts of the investigated incidents on the return volatilities and the correlation structures of the sample countries with the world market.

Suggested Citation

  • Dogus Emin, 2016. "Effects of Global Incidents on Dynamic Correlations of Emerging European Countries," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 4(1), pages 1-23.
    • Handle: RePEc:ejn:ejefjr:v:4:y:2016:i:1:p:1-23
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    References listed on IDEAS

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    Cited by:

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    4. Wojciech Grabowski, 2019. "Givers or Recipients? Co-Movements between Stock Markets of CEE-3 and Developed Countries," Sustainability, MDPI, vol. 11(22), pages 1-24, November.

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