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LONG AND SHORT-RUN LINKAGES IN CEE STOCK MARKETS: IMPLICATIONS FOR PORTFOLIO DIVERSIFICATION AND STOCK MARKET INTEGRATION

dc.contributor.authorSyllignakis, Manolisen_US
dc.contributor.authorKouretas, Georgiosen_US
dc.date.accessioned2007-10-25T20:10:14Z
dc.date.available2007-10-25T20:10:14Z
dc.date.issued2006-07-01en_US
dc.identifier.otherRePEc:wdi:papers:2006-832en_US
dc.identifier.urihttps://hdl.handle.net/2027.42/57212en_US
dc.description.abstractThis paper examines the short- and long-term relationships between seven Central Eastern European (CEE) stock markets and two developed stock markets, namely the German market and the US market. Application of the Gonzalo and Granger (1995) methodology indicates that the examined stock markets are partially integrated, while there is also evidence that the five stock markets in the central Europe (Czech Republic, Hungary, Poland, Slovenia and Slovakia) together with the German and the US stock markets have a significant common permanent component, which drives this system of stock exchanges in the long run. Contrary, the Estonian and Romania markets are segmented. A DCC model indicates that the short ñ term interdependencies between the CEE stock markets and the developed stock markets have strengthened during the Asian and Russian crises but since then (except for the Czech Republic, Hungary, Poland) they returned almost to their initial (relatively low) levels. Moreover, significantly increased volatility is observed during the Russian crisis period for all the markets under enquiry.en_US
dc.format.extent286493 bytes
dc.format.extent1802 bytes
dc.format.mimetypeapplication/pdf
dc.format.mimetypetext/plain
dc.relation.ispartofseries832en_US
dc.subjectCentral Eastern European Equity Markets, Market Integration, Common Trends, DCC, SWARCH-L.en_US
dc.subject.otherG15, C12, C32, F36en_US
dc.titleLONG AND SHORT-RUN LINKAGES IN CEE STOCK MARKETS: IMPLICATIONS FOR PORTFOLIO DIVERSIFICATION AND STOCK MARKET INTEGRATIONen_US
dc.typeWorking Paperen_US
dc.subject.hlbsecondlevelEconomicsen_US
dc.subject.hlbtoplevelBusinessen_US
dc.contributor.affiliationumWilliam Davidson Instituteen_US
dc.description.bitstreamurlhttp://deepblue.lib.umich.edu/bitstream/2027.42/57212/1/wp832 .pdfen_US
dc.owningcollnameWilliam Davidson Institute (WDI) - Working Papers


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