Cointegration in Central and East European markets in light of EU accession

被引：29

作者：

Demian, Calin-Vlad

机构：

[1] Zip Code 410182, Oradea, Bihor

来源：

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY | 2011年 / 21卷 / 01期

关键词：

CEE; Equity markets; Integration; European Union; Accession: Cointegration; STOCK MARKETS; UNITED-KINGDOM; INTEGRATION; MOVEMENTS; GERMANY; STATES;

D O I：

10.1016/j.intfin.2010.10.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study investigates the impact of EU accession on financial markets in the Czech Republic, Estonia, Hungary, Poland, Romania and Slovakia and what effect, if any, EU entry had on the cointegration relationships between these markets and developed ones. Using a VAR approach, we find an increase in the number of cointegration relationships over time. However, it appears that EU accession plays a minor direct role in the development of these links, cointegration being driven more by financial and economic factors as opposed to explicit political actions. (C) 2010 Elsevier B. V. All rights reserved.

引用

页码：144 / 155

页数：12

共 39 条

[1] RELATIONS AMONG EQUITY MARKETS - STUDY OF SHARE PRICE CO-MOVEMENTS IN UNITED-STATES, UNITED-KINGDOM, GERMANY AND JAPAN [J].