Testing Integration Effects Between the Cee and U.S. Stock Markets During the 2007–2009 Global Financial Crisis

• Authors: Joanna Olbryś , Elżbieta Majewska
• Languages of publication: EN

Abstracts

EN

The main goal of this paper is to explicitly test a research hypothesis that there was no integration effect among the U.S. and the eight Central and Eastern European (CEE) stock markets during the 2007-2009 Global Financial Crisis (GFC). As growing international integration could lead to a progressive increase in cross-market correlations, the evaluation of integration was carried out by applying equality tests of correlation matrices computed over non-overlapping subsamples: the pre-crisis and crisis periods, in the group of investigated markets. The crisis periods are formally established based on a statistical method of dividing market states into bullish and bearish markets. The sample period May 2004-April 2014 includes the 2007 U.S. subprime financial crisis. The robustness analysis of the integration tests with respect to various data frequencies is provided. The empirical results are not homogeneous and they depend both on the integration test and data frequency. Consequently, it is not possible to conclude whether integration between the investigated markets is present.

Keywords

EN

stock market; financial crisis; cross-market correlations; integration

• Publisher: Sciendo
• Journal: Folia Oeconomica Stetinensia
• Year: 2015
• Volume: 15
• Issue: 1
• Pages: 101-113

Dates

published

2015-06-01

received

2014-09-15

accepted

2015-04-27

online

2015-12-30

Contributors

author

Joanna Olbryś

• Białystok University of Technology Faculty of Computer Science, Department of Theoretical Computer Science Wiejska 45A, 15-351 Białystok, Poland

author

Elżbieta Majewska

• University of Białystok Faculty of Mathematics and Informatics, Institute of Mathematics Department of Applied Mathematics K. Ciołkowskiego 1M, 15-245 Białystok, Poland

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Identifiers

DOI

10.1515/foli-2015-0024