How smooth is the stock market integration of CEE-3?
dc.contributor.author | Baumohl, Eduard | |
dc.contributor.author | Lyocsa, Stefan | |
dc.date.accessioned | 2016-08-30T19:48:50Z | |
dc.date.available | 2016-08-30T19:48:50Z | |
dc.date.issued | 2014-06-01 | |
dc.identifier.other | RePEc:wdi:papers:2014-1079 | |
dc.identifier.uri | https://hdl.handle.net/2027.42/132978 | |
dc.description.abstract | We study the stock market integration of emerging CEE-3 stock markets (namely, the Czech, Hungarian, and Polish markets) and hypothesize that this process has been gradual over time. As a proxy for integration, co-movements with three stock market indices that represent the developed markets (i.e., MSCI Germany, the Dow Jones Euro Stoxx 50, and MSCI World) are estimated using the standard, asymmetric, and corrected DCC-GARCH model. A smooth transition logistic trend model is then fitted to the dynamic correlations to examine the integration process. Evidence of strengthening relationships among the markets under study is provided. | |
dc.relation.ispartofseries | wp1079 | |
dc.subject | stock market integration | |
dc.subject | dynamic conditional correlations | |
dc.subject | CEE-3 countries | |
dc.subject | smooth transition model | |
dc.subject.other | C32 | |
dc.subject.other | G01 | |
dc.subject.other | G15 | |
dc.title | How smooth is the stock market integration of CEE-3? | |
dc.type | Working Paper | |
dc.subject.hlbsecondlevel | Economics | |
dc.subject.hlbtoplevel | Business | |
dc.contributor.affiliationum | William Davidson Institute | |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/132978/1/wp1079.pdf | |
dc.contributor.authoremail | stefan.lyocsa@euke.sk | |
dc.owningcollname | William Davidson Institute (WDI) - Working Papers |
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