engleski

Garch Estimation of CEE Financial Integration as Compared with Germany

Paper deals with procyclicality of stock exchanges regarding the economic activity of selected CEE countries, to measure the level of financial integration and to compare them with Germany as developed and leading EU economy. Empirical evidence of a relationship between stock exchange indices and main (macro) economic indicators have been analysed by using GARCH method. Research has shown that there are similar reactions of the CEE macroeconomic variables to different stock indices, also compared with Germany. However, there is no closer financial integration of CEE countries with Germany. Relation between financial market and real sphere in CEE countries reflects the one in the developed country, with some fundamental obstacles in CEE countries still to be overcome.

stock markets, integration, European Union, ARCH

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