Politická ekonomie 2014, 62(3):347-365 | DOI: 10.18267/j.polek.955

Determinanty integrácie akciových trhov krajín V4

Eduard Baumöhl
Ekonomická univerzita v Bratislave.

Determinants of CEE-4 Stock Market Integration

Stock market integration of CEE-4 (the so-called Visegrad group or V4) and G7 countries is examined during the period from January 4, 1998 to August 5, 2012. As a proxy of integration we use dynamic conditional correlations estimated in the standard DCC and asymmetric DCC model framework. It is showed that during the recent financial crisis, conditional correlations between the CEE-4 and developed markets have increased more significantly than after the entry of the CEE-4 countries into the European Union. Finally, the estimated correlations exhibit significant relationship with conditional volatility with a positive feedback. This provides an evidence of strengthening relationships between markets under the study during the more volatile periods.

Keywords: volatility, stock market integration, dynamic conditional correlations, CEE-4 countries (V4 group), G7 countries
JEL classification: C32, G01, G15

Published: June 1, 2014  Show citation

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Baumöhl, E. (2014). Determinants of CEE-4 Stock Market Integration. Politická ekonomie, 62(3), 347-365. doi: 10.18267/j.polek.955
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