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Publisher: Taylor & Francis (Routledge)
Languages: English
Types: Article
Subjects:
This paper investigates comovement in stock markets between the emerging economies of Central and Eastern Europe (CEE) and the developed markets of Western Europe. Three approaches are employed to examine this issue. The first two approaches, time-varying realised correlation ratios and cointegration statistics, use a two-step technique to derive timevarying estimates of the comovement between returns on CEE and EU stock exchanges. The first step uses common factor analysis to define the factors driving CEE stock exchanges, while the second step evaluates the relationship between the leading principal factor for CEE countries and the DAX and FTSE using time-varying realised correlation and rolling cointegration statistics. The third approach employs multivariate GARCH techniques to obtain estimates of mean and variance spillover effects.
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    • Ajayi, R., A., Mehdian, S., and Perry, M. J., (2004) The Day of the Week Effect in Stock Returns: Further Evidence from Eastern European Markets, Emerging Markets Finance and Trade, Vol. 40(4): 53-62.
    • Andersen, T.G., T. Bollerslev, F.X. Diebold, and P. Labys (2003) Modelling and Forecasting Realised Volatility, Econometrica, Vol. 71(2): 579-625.
    • Andersen, T.G., T. Bollerslev, F.X. Diebold and P. Labys (1999) “(Understanding, Optimizing, Using and Forecasting) Realised Volatility and Correlation,” LN Stern School of Finance Department Working Paper 24, University of Pennsylvania, Philadelphia, P.A.
    • Asprem, M. (1989) Stock Prices, Asset Portfolios and Macroeconomic Variables in Ten European Countries, Journal of Banking and Finance, Vol. 13(4-5): 589-612.
    • Baba, Y., Engle, R.F., Krafet, D., and Kroner, K.F. (1990). “Multivariate Simultaneous Generalised ARCH.” Unplublished manuscript, Department of Economics, University of California, San Diego.
    • Bauwens, Luc and Pierre Giot (2003), Asymmetric ACD Models: Introducing Price Information in ACD Models, Empirical Economics, 28(4), 709-31.
    • Bessler, D.A. and Yang, J. (2003) The Structure of Interdependence in International Stock Markets, Journal of International Money and Finance, Vol. 22: 261-287.
    • Bodurtha, J.N., Cho, D.C. and Senbet, L.W. (1989) Economic Forces in the Stock Market, Global Finance Journal, 1: 21-46.
    • Canova, F. and De Nicoló, G. (1995) Stock Returns and Real Activity: A Structural Approach, European Economic Review, Vol. 39(5): 981-1015.
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