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

Deep Blue Home

Show simple item record

dc.contributor.author Syllignakis, Manolis en_US
dc.contributor.author Kouretas, Georgios en_US
dc.date.accessioned 2007-10-25T20:10:14Z
dc.date.available 2007-10-25T20:10:14Z
dc.date.issued 2006-07-01 en_US
dc.identifier.other RePEc:wdi:papers:2006-832 en_US
dc.identifier.uri http://hdl.handle.net/2027.42/57212 en_US
dc.description.abstract This 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.extent 286493 bytes
dc.format.extent 1802 bytes
dc.format.mimetype application/pdf
dc.format.mimetype text/plain
dc.relation.ispartofseries 832 en_US
dc.subject Central Eastern European Equity Markets, Market Integration, Common Trends, DCC, SWARCH-L. en_US
dc.subject.other G15, C12, C32, F36 en_US
dc.title LONG AND SHORT-RUN LINKAGES IN CEE STOCK MARKETS: IMPLICATIONS FOR PORTFOLIO DIVERSIFICATION AND STOCK MARKET INTEGRATION en_US
dc.type Working Paper en_US
dc.subject.hlbsecondlevel Economics en_US
dc.subject.hlbtoplevel Business en_US
dc.contributor.affiliationum William Davidson Institute en_US
dc.description.bitstreamurl http://deepblue.lib.umich.edu/bitstream/2027.42/57212/1/wp832 .pdf en_US
dc.owningcollname William Davidson Institute (WDI) - Working Papers
 Show simple item record

This item appears in the following Collection(s)


Search Deep Blue

Browse by

My Account

Information

Coming Soon


MLibrary logo