Naslov (eng)

Stock Markets Integration between Western Europe and Central and South-Eastern Europe : Latest Trends

Autor

Minović, Jelena
Janković, Irena
Kovačević, Vlado

Opis (eng)

ABSTRACT: The aim of the paper is to examine the stock market integration between Western Europe and selected countries of Central (Austria, Czech Republic, Poland, Hungary, Slovakia, and Slovenia) and SouthEastern Europe (Greece, Croatia, Serbia, Bosnia, Bulgaria, and Romania). In order to achieve this goal, we used a bivariate BEKK model to obtain time-varying covariances and correlations for the period April 15, 2013 - March 29, 2019. Our results showed that Austria has the highest degree of integration among countries in Central Europe, followed by the Czech Republic, Poland and Hungary. Additionally, Greece has the highest degree of integration among all countries in South-Eastern Europe, followed by Romania, and Croatia. Thus, stock markets of Central Europe are more integrated with Western Europe than stock markets of South-Eastern Europe

Opis (eng)

The authors acknowledge the financial support of the Ministry of Education, Science and Technological Development of the Republic of Serbia. This paper was presented at the International Scientific Conference Econometric modelling in economics and finance at the Institute of Economic Sciences in Belgrade in October 2019

Jezik

engleski

Datum

2022

Licenca

Ovo delo je licencirano pod uslovima licence
Creative Commons CC BY-NC-ND 4.0 - Creative Commons Autorstvo - Nekomercijalno - Bez prerada 4.0 International License.

http://creativecommons.org/licenses/by-nc-nd/4.0/legalcode

Predmet

Key words: Stock market integration, Multivariate GARCH, BEKK model, Central Europe, South-Eastern Europe

Deo kolekcije (1)

o:28218

Ekonomski fakultet