Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/184448 
Year of Publication: 
2017
Citation: 
[Journal:] Comparative Economic Research. Central and Eastern Europe [ISSN:] 2082-6737 [Volume:] 20 [Issue:] 4 [Publisher:] De Gruyter [Place:] Warsaw [Year:] 2017 [Pages:] 45-63
Publisher: 
De Gruyter, Warsaw
Abstract: 
The goal of this paper is to recognize the dynamics of financial integration across the European stock markets over the last two decades. We investigate two groups of markets: (1) three developed European markets in the U.K., France, and Germany; and (2) three emerging Central and Eastern European markets in Poland, the Czech Republic, and Hungary (CEE-3). The evolution of the integration process is analyzed using a dynamic principal component approach. The index of integration serves as a robust measure of integration. The empirical results reveal that the dynamics of integration across the whole group of markets increased significantly following the CEEC-3's accession to the European Union. An inverted U-shape in the index of integration has been found in this case. Moreover, the average index of integration was significantly different during the Global Financial Crisis compared to the pre-crisis period.
Subjects: 
european stock markets
dynamic principal component analysis
index of integration
Global Financial Crisis
JEL: 
C10
F36
F65
G01
G15
O52
O57
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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