by Horobet, Alexandra
and Lupu, Radu
Published in Romanian Journal of Economic Forecasting,
2009, volume 10 issue 2, 64-80
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by Horobet, Alexandra
and Lupu, Radu
Published in Romanian Journal of Economic Forecasting,
2009, volume 10 issue 2, 64-80
|
| Requires a PDF viewer such as Xpdf
or Adobe
Acrobat Reader 144Kb |
Central and Eastern European (CEE) stock markets have gradually attracted international investors’ attention after 1990, and their integration into the European capital market will lead to increased maturity of these markets, accompanied by higher
attractiveness to international investors. The paper analyses the stock markets of five emerging countries from the CEE region – the Czech Republic, Hungary, Poland, Romania and the Russian Federation – as against four major European Union markets – Austria, France, Germany and the United Kingdom – over the 2003-2007 period and aims at identifying the speed and significance of information transmission among them, as embedded in stock market returns. By employing co-integration and Granger causality tests with different data frequencies, we investigate the long- and short-run relationships among these markets and interpret the findings in the context
of international capital market integration.
Keywords:
European Union; capital market; emerging markets; co-integration; Granger causality
JEL Classification: