Econometric Analysis of Integration of Selected New EU Member CEE Stock Markets With Global Stock Market and Eurozone: Impact of Global Financial Crisis
The period of the global financial crisis can be characterized by the spillover of negative innovations among stock markets worldwide. Stock markets in Central Europe were not excluded as they are not isolated from global stock markets. Recently published scientific studies dealing with this them...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Academy of Economic Studies of Bucharest
2021-08-01
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| Series: | Amfiteatru Economic |
| Subjects: | |
| Online Access: | https://www.amfiteatrueconomic.ro/temp/Article_3042.pdf |
| Summary: | The period of the global financial crisis can be characterized by the spillover of negative
innovations among stock markets worldwide. Stock markets in Central Europe were not
excluded as they are not isolated from global stock markets. Recently published scientific
studies dealing with this theme were mainly focused on the integration of the new EU
members´ stock markets with the eurozone only. Hence, this paper aims to investigate,
compare and interpret integration among stock markets of selected new EU member states in
Central Europe (the Czech Republic, Hungary, and Poland), the global stock market and the
eurozone equity market within 2004-2018. The added value of this article consists especially
in using a wider spectrum of econometric tools (cointegration, VAR model, Granger
causality, variance decomposition) and comparison of changes of mutual relationships in
three different testing sub-periods to study the dynamics in time. Our research is
accomplished via usage of data on daily frequency. Delivered results showed that the degree
of integration of Central European stock markets with the US stock market and eurozone
significantly increased during global financial crisis. Moreover, stock markets in Central
Europe are more integrated with the global stock market than the euro area. |
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| ISSN: | 1582-9146 2247-9104 |