Investigation of Stock Market Integration in the Baltic Countries

• Authors: Vilma Deltuvaitė
• Languages of publication: EN

Abstracts

EN

Recent rapid development of the Baltic stock markets raises the question about stock market integration level in these countries. Some empirical aspects of the Baltic stock market integration have been analysed in the scientific literature, however, a comprehensive analysis on the Baltic stock market integration level is still missing. The aim of the paper is to assess the regional integration level of the Baltic stock markets. The research object is stock markets in the Baltic countries. The following research and statistical methods have been applied in this study: the systemic and comparative analysis of the scientific literature, Spearman’s correlation coefficient, dynamic conditional correlation generalized autoregressive conditional heteroskedasticity model, Granger causality test, generalized impulse response analysis, Johansen cointegration test, autoregressive distributed lag model and error correction model. The main findings of this empirical study are (a) all three Baltic stock markets are closely related markets, (b) however, the Latvian stock market is more isolated at the regional level comparing to other two Baltic stock markets (c) whereas Estonian and Lithuanian stock markets are more interrelated.

Keywords

EN

Baltic countries; integration; stock market

• Publisher: Sciendo
• Journal: Economics and Business
• Year: 2016
• Volume: 28
• Issue: 1
• Pages: 38-44

Dates

published

2016-04-01

online

2016-06-10

Contributors

author

Vilma Deltuvaitė

• Kaunas University of Technology

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Identifiers

DOI

10.1515/eb-2016-0006