engleski

Integration of Croatian and Selected CEE Equity Markets : Cointegration Aproach

This paper examines bilateral and multilateral cointegration of equity markets of selected Central and Eastern European countries including Croatia, and German equity market for the period of January 2nd, 1997 to June 10th , 2005. Application of the Johansen – Juselius cointegration procedure indicates existence of multilateral integration between equity markets of analyzed CEE economies, as well as between the group of CEE equity markets and German equity market. This study offers compelling evidence that the forces driving financial integration are quite powerful, and that we are likely to see more substantial movement in the same direction with time and once these countries join EMU, because evidence from this study suggests that bilateral integration between particular CEE equity markets and German equity market is still missing.

equity markets; CEE; cointegration; financial integration.

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