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

Testing causal relation among central and eastern European equity markets: evidence from asymmetric causality test

“…Cointegration and Granger causality test results suggested that the spill-over effect is very fast among stock markets where the strongest reaction occurs within one hour, with the first reaction detected often after only five minutes. Demian (2011) examined the effect of EU accession on financial market integration for new members of the EU such as the Czech Republic, Estonia, Hungary, Poland, Romania and Slovakia. While empirical evidence indicates the presence of a cointegration relationship among stock markets, the effects of EU accession are found to be very small.…”

“…In this context, Pretorius (2002) empirically examined fundamentals of financial integration and found that bilateral trade and industrial production growth differential are important factors in explaining the interdependency. Demian (2011) stated that financial and economic factors are the main sources of integration among European stock markets. Furthermore, Ratanapakorn and Sharma (2002) indicated that strong economic integration, policy coordination and trade among relevant regions are reasons of increasing financial integration.…”

Financial development, technology, growth and performance: Evidence from the accession to the EU

“…ERM-II demonstrates that a government can manage its economy without a currency depreciation. A research by Demian (2011) indicate that CEE markets have become more cointegrated in light of the accession to the EU. Additionally, Fig.…”

“…The first hypothesis is that important macroeconomic structural and legal variables contribute to economic development and have high explanatory power in the systems. The positive effects are expected because of the ongoing structural reforms of the countries (Berg et al, 1999;Romero-Avila, 2007;Demian, 2011). Specifically, Berg et al (1999) provide evidence for the importance of structural reforms and macroeconomic factors.…”

Changing integration of EMU public property markets

“…The financial markets in the Euro-zone are especially appealing to study, because of the ongoing changes brought about by the economic and monetary unification process. Several studies have examined the impact of the European Monetary Union (EMU) on stock market and bond market linkages (Haug et al, 2000;Syriopoulos, 2006;Morelli, 2010;Demian, 2011), and most of these studies suggest that the EMU has significantly increased the degree of interdependence among member countries' equity and bond markets. Authors such as Holmes andMaghrebi, 2008, Lein et al (2008) and Arghyrou et al (2009) contend that these increasing dynamic interrelationships may be attributed primarily to economic convergence stimulated by the monetary and economic policy rules and criteria imposed by the Maastricht Treaty.…”