Naslov
Integration of Croatian, CEE and EU Equity Markets : Cointegration Approach

Autori
Vizek, Maruška ; Dadić, Tajana

Izvornik
Ekonomski pregled : mjesečnik Hrvatskog društva ekonomista Zagreb (0424-7558) 57 (2006), 9/10; 631-646

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, prethodno priopćenje, znanstveni

Ključne riječi
equity markets; financial integration; cointegration; CEE

Sažetak
This paper examines bilateral and multilateral integration 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 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, since evidence from this study suggests that bilateral integration between particular CEE equity markets and German equity market is still absent.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA