Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/79239
Authors: 
Horvath, Roman
Petrovski, Dragan
Year of Publication: 
2012
Series/Report no.: 
IOS Working Papers 317
Abstract: 
We examine the international stock market comovements between Western Europe vis-àvis Central (the Czech Republic, Hungary and Poland) and South Eastern Europe (Croatia, Macedonia and Serbia) using multivariate GARCH models in 2006-2011. Comparing these two groups, we find that the degree of comovements is much higher for Central Europe. The correlation of South Eastern European stock markets with developed markets is essentially zero. The exemption to this regularity is Croatia with its stock market displaying a greater degree of integration towards Western Europe recently, but still below the levels typical for Central Europe. All stock markets fall strongly at the beginning of the global financial crisis and we do not find that the crisis altered the degree of stock market integration between this group of countries.
Subjects: 
stock market comovements
Central and South Eastern Europe
GARCH
Document Type: 
Working Paper

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