| bibtype |
J -
Journal Article
|
| ARLID |
0391629 |
| utime |
20240103202451.3 |
| mtime |
20130412235959.9 |
| WOS |
000316423100007 |
| DOI |
10.1016/j.ecosys.2012.07.004 |
| title
(primary) (eng) |
International stock market integration: Central and South Eastern Europe compared |
| specification |
| page_count |
11 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0290062 |
| ISSN |
0939-3625 |
| title
|
Economic Systems |
| volume_id |
37 |
| volume |
1 (2013) |
| page_num |
81-91 |
| publisher |
|
|
| keyword |
stock markets |
| keyword |
South Eastern Europe |
| author
(primary) |
| ARLID |
cav_un_auth*0274257 |
| name1 |
Horváth |
| name2 |
Roman |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| garant |
G |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0290581 |
| name1 |
Petrovski |
| name2 |
D. |
| country |
CZ |
|
| source |
|
| cas_special |
| project |
| project_id |
GA402/09/0965 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253176 |
|
| abstract
(eng) |
We examine the international stock market comovements between Western Europe vis-á-vis Central (Czech Republic, Hungary and Poland) and South Eastern Europe (Croatia, Macedonia and Serbia) using multivariate GARCH models in the period 2006–2011. Comparing these two groups, we find that the degree of comovements is much higher for Central Europe. The correlation of South Eastern European stock markets with developed markets is essentially zero. An exemption to this regularity is Croatia, with its stock market displaying a greater degree of integration toward Western Europe recently, but still below the levels typical for Central Europe. All stock markets fall strongly at the beginning of the global financial crisis and we do not find that the crisis altered the degree of stock market integration between these groups of countries. |
| reportyear |
2014 |
| RIV |
AH |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0220655 |
| mrcbT16-e |
ECONOMICS |
| mrcbT16-g |
0.122 |
| mrcbT16-h |
6.I |
| mrcbT16-i |
0.00073 |
| mrcbT16-k |
239 |
| mrcbT16-l |
41 |
| mrcbT16-s |
0.456 |
| mrcbT16-z |
SocialSciencesCitationIndex |
| mrcbT16-4 |
Q2 |
| mrcbT16-C |
37.988 |
| mrcbT16-E |
Q3 |
| arlyear |
2013 |
| mrcbU34 |
000316423100007 WOS |
| mrcbU63 |
cav_un_epca*0290062 Economic Systems 0939-3625 1878-5433 Roč. 37 č. 1 2013 81 91 Elsevier |
|