Naslov
Long-Run Comovements and Short-Run Dynamics Between CEE and Developed Countries' Equity Markets

Autori
Vizek, Maruška ; Dadić, Tajana

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni

Izvornik
From Transition to Sustainable Development : The Path to European Integration (ICES 2006) : proceedings / Čičić, M ; Bajgorić, N ; Babić, V ; Bartlett, W ; Bašić, M i ostali - Sarajevo : Ekonomski fakultet Univerziteta u Sarajevu, 2006, 217-221

ISBN
9958-605-89-9

Skup
From Transition to Sustainable Development : The Path to European Integration

Mjesto i datum
Sarajevo, Bosna i Hercegovina, 12.10.2006. - 13.10.2006

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
equity markets; financial integration; cointegration; Granger causality

Sažetak
This paper examines bilateral and multilateral integration of equity markets of nine Central and Eastern European countries, including new EU members, acceding and candidate countries, as well as German, UK and USA equity markets for the period of January 1st, 1996 to February 3rd, 2006. We also conduct series of Granger causality tests in order to determine the direction of short-run interactions between equity markets. Application of the Johansen cointegration procedure on equity market indices denominated in local currencies indicate existence of multilateral integration between equity markets of analyzed CEE economies, as well as between the group of CEE equity markets and developed equity markets using German, UK and USA equity markets as proxies. In addition, by testing equity market indices denominated in local currencies, we intend to show whether exchange rate risk in CEE countries hampers further integration among selected equity markets. This study offers compelling evidence that the forces driving financial integration are quite strong, and that we are likely to witness further developments in the same direction as time passes and once these countries join EMU particularly because evidence from this study suggests that bilateral integration between particular CEE equity markets and developed equity markets is still absent. On the other hand, application of Granger causality test on all possible pairs of observed equity markets points towards evident differences in their short-run coherence. According to their response to short-run dynamics from other markets, three distinguished groups of CEE equity markets emerged. Aforementioned grouping corresponds well with their respective level of equity markets’ significance.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA