Analysis of Linkages between Central and Eastern European Capital Markets
DOI:
https://doi.org/10.12775/DEM.2012.002Keywords
Emerging Markets, Equity CEE Markets, cointegration, Granger Causality, long-run relationships, short-run relationshipsAbstract
The aim of the research is analysis of short- and long-term international relations between stock exchanges in Central and Eastern Europe. The analysis is provided in 3 stages. In the first step the order of the variables integration is examined. In the second stage short-run relationships for pairs of indexes are analyzed using Granger causality test. In the last step long-run relationships for pairs of indexes are examined applying Johansen cointegration method.
References
Bailey, W., Choi, J.J. (2005), International Market Linkages, Journal of Economics and Business, 55, 399–404.
Bailey, W., Stulz, R. (1989), The Pricing of Stock Index in a General Equilibrium Model, Journal of Financial and Quantitative Analysis, 24, 1–12.
Baur, D.G. (2004), What is Co-movement? EUR Working Paper No. 20759 http://ssrn.com/ abstract=570585 (17.10.2011).
Booth, G. G.; Martikainen, T. Tse Y. (1997), Price and Volatility Spillovers in Scandinavian Stock Markets, Journal of Banking and Finance, 21, 811–823.
Caporale, G.M., Spagnolo, N. (2010), Stock Market Integration between Three CEECs, Economics and Finance Working Paper Series, Working Paper No. 10–09, http://bura.brunel.ac.uk/bitstream/2438/5056/1/1009%5B1%5D.pdf (17.10.2011).
Charemza, W., Deadman, D.F. (1997), New Directions in Econometric Practice, PWE, Warsaw [Polish edition].
Chen, G., Firth, M., Rui, O. (2002), Stock Market Linkages: Evidence from Latin America, Journal of Banking and Finance, 26(6), 1113–1141.
Choudhry, T. (1996), Interdependence of Stock Markets: Evidence from Europe During the 1920s and the 1930s, Applied Financial Economics, 6, 243–249.
Choudhry, T., (1997), Stochastic Trends in Stock Prices: Evidence from Latin American Markets, Journal of Macroeconomics, 19, 285–304.
Claessens, S., Forbes, K.J. (ed.) (2001), International Financial Contagion: How it Spreads and how it Can be Stopped, Kluwer Academic Publishing, Boston.
Diamandis, P.F. (2009), International Stock Market Linkages: Evidence from Latin America, Global Finance Journal, 20, 13–30.
Dubinskas, P., Stunguriene, S. (2010), Alterations in the Financial Markets of the Baltic Countries and Russia in the Period of Economic Downturn, Technological and Economic Develop-ment of Economy, 16(3), 502–515.
Elder, J., Kennedy, P.E. (2001), Testing for Unit Roots: What Should Students Be Taught?, Jour-nal of Economic Education, 31(2), 137–146.
Engle, R.F. Sumsel R. (1993), Common Volatility in International Equity Markets, Journal of Business and Economic Statistics, 11, 167–176.
Eun, C., Shim, S. (1989), International Transmission of Stock Market Movements, Journal Fi-nancial and Quantitative Analysis, 24, 241–256.
Fischer, K.P., Palasvirta, A.P. (1990), High Road to a Global Marketplace: The International Transmission of Stock Market Fluctuations, The Financial Review, Eastern Finance Asso-ciation, 25(3), 371–94.
Forbes, K.J., Rigobon, R. (2002), No Contagion, Only Interdependence: Measuring Stock Market Comovements, Journal of Finance, American Finance Association, 57(5), 2223–2261.
Ghosh, A., Saidi, R., Johnson, K.H. (1999), Who Moves the Asia-Pacific Stock Markets: U.S. or Japan? Empirical Evidence Based on the Theory of Cointegration, Financial Review, 34, 159–170.
Gilmore C.G., Lucey B.M., McManus G.M. (2008), The Dynamics of Central European Equity Market Comovements, The Quarterly Review of Economics and Finance, 48, 605–622.
Hakkio, G.S., Rush, M. (1991), Cointegration: How Short is the Long Run?, Journal of Interna-tional Money and Finance, 10, 571–581.
Hamao, Y., Masulis, R. W., Ng, V. (1990), Correlations in Price Changes and Volatility Across International Stock Markets, Review of Financial Studies, 3, 281–307.
Hanousek J., Kočenda E. (2009), Intraday Price Discovery in Emerging European Stock Markets, GERGE-EI Working Paper Series 382, http://www.cerge-ei.cz/pdf/wp/Wp382.pdf (17.10.2011).
Hanousek J., Kočenda E., Kutan A.M. (2008), The Reaction of Asset Prices to Macroeconomic Announcements in New EU Markets: Evidence from Intraday Data, GERGE-EI Working Paper Series 349, http://www.cerge-ei.cz/pdf/wp/Wp349.pdf (17.10.2011).
Hassan, M.K., Naka A. (1996) Short-Run And Long-Run Dynamic Linkages Among International Stock Markets, International Review of Economics and Finance, 5(4), 387–405.
Huang, B.N., Yang C.W., Hu J.W.S. (2000), Causality and Cointegration of Stock Markets among the United States, Japan and the South China Growth Triangle, International Review of Financial Analysis, 9(3), 281–297.
Janakiraman, S., Lamba, A.S. (1998), An Empirical Examination of Linkages between Pacific-Basin Stock Markets, Journal of International Financial, Markets, Institutions and Money, 8, 155–173.
Karolyi, G.A., Stulz, R.M, (1996), Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements, Journal of Finance, American Finance Association, 51(3), 951–86.
Kasa K. (1992), Common Stochastic Trends in International Stock markets, Journal of Monetary Economics, 29, 95–124.
Kearney C., Lucey B.M. (2004), International Equity Market Integration: Theory, Evidence and Implications, International Review of Financial Analysis, 13, 571–583.
Kearney, C. (2000), The Determination and International Transmission of Stock Market Volatility, Global Finance Journal, 11, 1–22.
Kennedy, P. (2003), A Guide to Econometrics, Blackwell Publishing.
Kim, S.W. Rogers, J.H. (1995), International Stock Price Spillovers and Market Liberalization: Evidence from Korea, Japan, and the United States, Journal of Empirical Finance, 2(2), 117–133.
Koedijk, K.C.G., Campbell, R.A.J., Kofman, P. (2002), Increased Correlation in Bear Markets. Financial Analysts Journal, 58(1), 87–94.
Kompa, K. (2010), Capital Markets in Transitional Countries. Comparison of Stock Exchanges in Europe, in Witkowska, D., Nermend, K. (ed.), Regional Analysis: Globalization, Integra-tion, Transformation, Wydawnictwo Uniwersytetu Szczecińskiego, Szczecin, 125–152.
Koutmos, G. (1996), Modelling The Dynamic Interdependence of Major European Stock Markets, Journal of Business Finance and Accounting, 23, 975–988.
Koutmos, G., Booth, G.G. (1995), Asymmetric Volatility Transmission in International Stock Markets, Journal of International Money and Finance, 14, 747–762.
Kuçukcolak, N. (2008), Co-Integration of The Turkish Equity Market With Greek and other European Union Equity Markets, International Research Journal of Finance and Econom-ics, 13, 58–73.
Kwan, A.C.C., Sim, A.H.B., Cotsomitis, J.A. (1995), The Causal Relationships between Equity Indices on World Exchanges, Applied Economics, 27, 33–37.
Li, H., Majerowska, E. (2008), Testing Stock Market Linkages for Poland and Hungary: A Multi-variate GARCH Approach, Research in International Business and Finance, 22, 247–266.
Lin, W.-L., Engle, R. F., Ito, T. (1994), Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility, Review of Financial Studies, 7, 507–538.
Longin, F. M., Solnik, B. (1995), Is the Correlation in International Equity Returns Constant: 1960–1990, Journal of International Money and finance, 14, 3–26.
Longin, F., Solnik, B., (2001), Extreme Correlation of International Equity Markets, Journal of Finance, 56(2), 649–676.
MacDonald, R. (2001), Transformation of External Shocks and Capital Market Integration, in Schroder, M. (ed.), The New Capital Markets in Central and Eastern Europe, Springer Verlag, 210–245.
Maddala, G.S., Kim, I.-M. (1998), Unit Roots, Cointegration, and Structural Change, Cambridge University Press, Cambridge.
Masih, R., Masih, A.M.M. (2001), Long and Short Term Dynamic Causal Transmission Amongst International Stock Markets, Journal of International Money and Finance, 20, 563–587.
Matuszewska-Janica, A. (2010), Short-Run Relationship between Selected Central European Stock Exchanges: Causality and Exogeneity Analysis, Uniwersytet Szczeciński, Zeszyty Naukowe nr 612(28), tom Rynek kapitałowy, 519–532.
Matuszewska-Janica, A. (2011), Long-run Relationships between Selected Central European Indexes, International Advanced in Economic Research, 17, 157–168.
Meric, I., Meric, G. (1989), Potential Gains from International Portfolio Diversification and Inter-temporal Stability and Seasonality in International Stock Market Relationships, Journal of Banking and Finance, 13(4/5), 627–640.
Narayan, P., Smyth, R., Nandha M. (2004), Interdependence and Dynamic Linkages between the Emerging Stock Markets of South Asia, Accounting and Finance, 44(3), 419–439.
Ng, A. (2000), Volatility Spillover Effects from Japan and the US to the Pacific-Basin, Journal of International Money and Finance, 19, 207–233.
Osińska, M. (2008), Econometric analysis of causal relationships, Wydawnictwo Naukowe Uniwersytetu Mikołaja Kopernika, Toruń.
Panton, D.B., Lessing, P.V. Joy, M.O. (1976), Co-movement of International Equity Markets: a Taxonomic Approach, Journal of Financial and Quantitative Analysis, 11, 415–32.
Pascual, A.G. (2003), Assessing European Stock Market Integration, Economic Letters, 78, 197–203.
Phylaktis K., Ravazzolo F. (2005), Stock Market Linkages in Emerging Markets: Implications for International Portfolio Diversification, International Financial Markets, Institutions and Money, 15, 91–106.
Richards, A.J. (1995), Comovements in National Stock Market Returns: Evidence of Predictability, but not Cointegration, Journal of Monetary Economics, 36(3), 631–654.
Rigobon, R., (1999), On the Measurement of the International Propagation of Shocks, NBER Working Papers 7354, http://www.nber.org/papers/w7354.pdf (17.10.2011).
Roca, E.D. (1999), Short-Term and Long-Term Price Linkages between the Equity Markets of Australia and its Major Trading Partners, Applied Financial Economics, 9, 501 –511.
Serletis, A., King, M. (1997), Common Stochastic Trends and Convergence of European Union Stock Markets, The Manchester School, 65(1), 44–57.
Serwa, D., Bohl, M.,T. (2005), Financial Contagion Vulnerability and Resistance: A Comparison of European Stock Markets, Economic Systems, 29(3), 344–362.
Shachmurove, Y., Witkowska, D. (2001), Dynamic Interrelation Among Major World Stock Mar-ket: A Neural Network Analysis, International Journal of Business, 6(1), 1–22.
Sharkasi, A., Ruskin, H., Crane, M. (2004), Interdependence between Emerging and Major Mar-kets", in Antoch, J. (ed.), COMPSTAT 2004 – Proceedings in Computational Statistics 16th Symposium Prague, Czech Republic, Physica-Verlag, Springer, 1783–1790.
Siklos, P.L., Ng, P. (2001), Integration among Asia-Pacific and International Stock Markets: Com-mon Stochastic Trends and Regime Shifts, Pacific Economic Review, 6, 89–110.
Syllignakis, M.N., Kouretas G.P. (2010), Dynamic Correlation Analysis of Financial Contagion: Evidence from the Central and Eastern European Markets, International Review of Economic and Finance, 20, 717–732.
Syriopoulos T. (2007), Dynamic Linkages between Emerging European and Developed Stock Markets: Has the EMU any Impact?, International Review of Financial Analysis, 16, 41–60.
Voronkova S. (2004), Equity Market Integration in Central European Emerging Markets: A Cointegration Analysis with Shifting Regimes, International Review of Financial Analysis, 13, 633–647.
Watson, J. (1980), The Stationarity of Inter-Country Correlation Coefficients: A Note, Journal of Business Finance and Accounting, 7, 297–299.
Witkowska, D. (1999), Neural Networks Application to Analysis of Daily Stock Returns at the Largest Stock Markets, in Szczepaniak (ed.), Computational Intelligence and Applications, Physica-Verlag Heidelberg - New York, 351–364.
Yang, J., Kolari, J.W., Sutanto, P.W. (2004), On the Stability of Long-Run Relationships between Emerging and US Stock Markets, Journal of Multinational Financial Management, 14(3), 233–248.
Downloads
Published
How to Cite
Issue
Section
License
The journal provides an Open Access to its content based on the non-exclusive licence Creative Commons (CC BY-ND 4.0).
To enable the publisher to disseminate the author's work to the fullest extent, the author must agrees to the terms and conditions of the License Agreement with Nicolaus Copernicus University.
Stats
Number of views and downloads: 465
Number of citations: 0
