Register  |  Login  |  Inquiries  |  Sitemap
Advanced Search
Journal of Economic Integration 2012 March;27(1) :115-122.
DOI: https://doi.org/10.11130/jei.2012.27.1.115
Stock Market Integration Between Three CEECs
Guglielmo Maria Caporale and 
Nicola Spagnolo 
Centre for Empirical Finance, Brunel University, West London, UB8 3PH, UK. Tel.: +44 1895 266 713; fax: +44 1895 269 770. E-mail: Guglielmo-Maria.Caporale@brunel.ac.uk
Centre for Empirical Finance, Brunel University, West London, UB8 3PH, UK. Tel.: +44 1895 266 366; fax: +44 1895 269 770. E-mail: nicola.spagnolo@brunel.ac.uk
Copyright ©2012 Journal of Economic Integration
ABSTRACT

This paper estimates a trivariate VAR-GARCH(1,1) model to examine volatility linkages between the stock markets of three Central and Eastern European countries (CEECs), namely the Czech Republic, Hungary and Poland. The empirical .findings suggest that following the EU accession regional linkages have become even stronger, and that therefore portfolio diversification within the region has become an even less effective investment strategy. This can be plausibly interpreted as reflecting deeper integration with the “old” EU economies, and has important implications for appropriate policy responses to shocks originating in those countries and affecting the .financial stability of the CEECs.

JEL Classification: C32, F36, G15

Keywords: Central and Eastern European Countries (CEECs) | Volatility Spillovers | VAR-GARCH Model
 
REFERENCE
1. Bollerslev, T.P. and J.M. Wooldridge. (1992), “Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances”, Econometric Review,11, 143-172.
2. Büttner, D., Hayo, B., and M. Neuenkirch. (2011), “The impact of foreign macroeconomic news on financial markets in the Czech Republic, Hungary, and Poland”, Empirica, forthcoming.
Editorial Office
Center for Economic Integration, Sejong Institution, Sejong University, 209, Neungdong-Ro, Gwangjin-Gu,
Seoul, 05006, Korea
TEL : +82-2-3408-3338    FAX : +82-2-3408-3338   E-mail : jei@sejong.ac.kr
Browse Articles |  Current Issue |  For Authors and Reviewers |  About
Copyright© by Center for Economic Integration. All right reserved.