Minović, Jelena and Janković, Irena and Kovačević, Vlado (2022) Stock Markets Integration between Western Europe and Central and South-Eastern Europe: Latest Trends. Economic Analysis, 55 (1). pp. 63-75. ISSN 2560-3949
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Abstract
The aim of the paper is to examine the stock market integration between Western Europe and selected countries of Central (Austria, Czech Republic, Poland, Hungary, Slovakia, and Slovenia) and South-Eastern Europe (Greece, Croatia, Serbia, Bosnia, Bulgaria, and Romania). In order to achieve this goal, we used a bivariate BEKK model to obtain time-varying covariances and correlations for the period April 15, 2013 - March 29, 2019. Our results showed that Austria has the highest degree of integration among countries in Central Europe, followed by the Czech Republic, Poland and Hungary. Additionally, Greece has the highest degree of integration among all countries in South-Eastern Europe, followed by Romania, and Croatia. Thus, stock markets of Central Europe are more integrated with Western Europe than stock markets of South-Eastern Europe.
Item Type: | Article |
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Additional Information: | COBISS.ID=70835977 |
Uncontrolled Keywords: | Stock market integration, Multivariate GARCH, BEKK model, Central Europe, South-Eastern Europe |
Research Department: | Macroeconomics |
Depositing User: | Jelena Banovic |
Date Deposited: | 09 Nov 2022 22:26 |
Last Modified: | 09 Nov 2022 22:26 |
URI: | http://ebooks.ien.bg.ac.rs/id/eprint/1832 |
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