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Stock Market Como Vement In The European Union And Transition Countries

Author

Listed:
  • Harrison, Barry

    (Nottingham Business School Nottingham Trent University, Burton Street, Nottingham NG1 4BU, UK)

  • Moore, Winston

    (Department of Economics University of the West Indies Cave Hill Campus Bridgetown BB11000, Barbados.)

Abstract

This paper investigates stock market convergence of Central and Eastern European (CEE) countries to the rest of Europe. Three approaches are used to obtain time-varying estimates of the comovement between returns on CEE and EU stock exchanges: (1) realised correlation analysis; (2) rolling unit root tests, and; (3) recursive cointegration tests. The results suggest that there is a relatively weak correlation between stock markets in CEE countries and those in Europe. However, the link between the exchanges has strengthened since 2002. This finding is robust to changes in the reference stock exchange.

Suggested Citation

  • Harrison, Barry & Moore, Winston, 2009. "Stock Market Como Vement In The European Union And Transition Countries," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 13(3), pages 124-151.
    • Handle: RePEc:vls:finstu:v:13:y:2009:i:3:p:124-151
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    References listed on IDEAS

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    Cited by:

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    2. Dajcman, Silvio & Festic, Mejra, 2012. "The Interdependence of the Stock Markets of Slovenia, The Czech Republic and Hungary with Some Developed European Stock Markets – The Effects of Joining the European Union and the Global Financial Cri," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 163-180, December.
    3. Halime Temel Nalın & Sevinç Güler, 2015. "Testing The Random Walk Hypothesis: An Application in the BRIC Countries and Turkey," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 18(55), pages 129-148, March.
    4. Lupu, Radu, 2011. "Shock transmission among the European Stock markets - Conferinta CRESTERE ECONOMICA SI SUSTENABILITATE SOCIALA. PROVOCARI SI PERSPECTIVE EUROPENE>," Institute for Economic Forecasting Conference Proceedings 101101, Institute for Economic Forecasting.
    5. Chaido Dritsaki, 2011. "The Random Walk Hypothesis and Correlation in the Visegrad Countries Emerging Stock Markets," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 14(40), pages 25-56, June.
    6. Silvo Dajcman, 2012. "The Dynamics of Return Comovement and Spillovers Between the Czech and European Stock Markets in the Period 1997–2010," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(4), pages 368-390, August.

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    More about this item

    Keywords

    Comovement; CEE countries; stock market;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • P34 - Political Economy and Comparative Economic Systems - - Socialist Institutions and Their Transitions - - - Finance

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