WHAT DRIVES THE STOCK MARKET INTEGRATION IN THE CEE-3?

• Authors: Výrost Tomáš , Eduard Baumöhl , Štefan Lyócsa
• Languages of publication: EN

Abstracts

EN

In this article, we study the possible explanatory power of macroeconomic factors that may drive the stock market integration between the Czech Republic, Poland and Hungary (CEE-3) and developed countries, using Germany as a benchmark. Our findings suggest that the recent global financial crisis has affected time-varying correlations between certain stock markets more substantially than the entry of the CEE-3 into the EU. The results of our analysis of the effects of these macroeconomic factors were inconclusive. Only our proxy of exchange rate risk was significant in all cases, with positive effects on integration, thus supporting the presence of contagion among different markets.

Keywords

EN

STOCK MARKET; CEE-3; DCC MV-GARCH MODEL; MACROECONOMICS

• Publisher: Institute of Slovak and World Economics and Institute for Forecasting, Slovak Academy of Sciences
• Journal: Ekonomický časopis (Journal of Economics)
• Year: 2013
• Volume: 61
• Issue: 1
• Pages: 67 – 81

Contributors

author

Výrost Tomáš

• Ekonomická Univerzita, Tajovského 13, 041 30 Košice, Slovak Republic

author

Eduard Baumöhl

author

Štefan Lyócsa