European stock market integration: Fact or fiction?

Bley, Jorg

doi:10.1016/j.intfin.2009.02.002

Cited by 40 publications

(24 citation statements)

References 71 publications

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“…In some cases, increases in correla- 13 Other authors have argued that actually it is the anticipation rather than the existence of a monetary union that increases the level of the European stock market integration (e.g. Bley, 2009). 14 All new EU members are expected to join the Euro at some point in the near future.…”

Section: Resultsmentioning

confidence: 99%

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Are There Still Portfolio Diversification Benefits in Eastern Europe? Aggregate Versus Sectoral Stock Market Data*

Aslanidis

Savva

2011

The Manchester School

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In this paper we measure the increase in stock integration between the three largest new European Union members (Hungary, the Czech Republic and Poland) and the Euro-zone using both country and industry level data. At the country market index level all three Eastern European markets show a considerable increase in correlations in 2006. At the industry level the dates and transition periods for the correlations differ and the correlations are lower, although also increasing. The results show that sectoral indices in Eastern European markets may provide larger diversification opportunities than the aggregate market.

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Section: Resultsmentioning

confidence: 99%

“…13 13 Other authors have argued that actually it is the anticipation rather than the existence of a monetary union that increases the level of the European stock market integration (e.g. Bley, 2009). …”

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confidence: 99%

Are There Still Portfolio Diversification Benefits in Eastern Europe? Aggregate Versus Sectoral Stock Market Data*

Aslanidis

Savva

2011

The Manchester School

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“…[8] indicates that South-Eastern Europe emerging markets are loosely related in periods of normal economic activity while in conditions of economic recession they exhibit strong interrelationship. [9] concluded that return distribution appears to be leptokurtic for all Euro stock markets. Investors are more exposed to the risk since the distribution of returns has a greater exposure to outlier events and bias to the downside.…”

Section: Previous Researchesmentioning

confidence: 99%

Performance of Risk Measures in Portfolio Construction on Central and South-East European Emerging Markets

Vidović¹

2011

AJOR

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Aim of this paper is to characterize different risk measures in portfolio construction on seven Central and South-East European stock markets; Slovenia, Croatia, Hungary, Poland, Chez Republic, Romania and Turkey. Selected countries are members of EU, except Croatia and Turkey which have candidate status. Empirical part of this paper consists of three stages; at first descriptive statistics on stock returns was performed, afterwards different risk measures were employed in portfolio construction and in the last part, portfolios were tested in the out-of-sample period. Results indicate presence of extreme kurtosis and skewness in stock return series. Resulting portfolios incorporate stocks with extremely high kurtosis and stocks with negative skewness. Portfolio construction based only on risk and return results in major exposure to extreme returns and unsatisfactory portfolio out-of-sample results.

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“…Also using the cointegration Johansen approach, other studies have concluded to the contrary, failing to identify a long-term relationship between stock markets (Li 2006;Olusi and Abdul-Majid 2008;Karim et al 2010) or identifying very faint signs (Ahlgren and Antell 2002). According to Bley (2009), the occurrence of mixed results is strongly influenced by time and country factors.…”

Section: Literature Reviewmentioning

confidence: 99%

Environmentally sustainable investment: Dynamics between global thematic indices

Gabriel¹

2019

cuadernosgestion

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European stock market integration: Fact or fiction?

Cited by 40 publications

References 71 publications

Are There Still Portfolio Diversification Benefits in Eastern Europe? Aggregate Versus Sectoral Stock Market Data*

Are There Still Portfolio Diversification Benefits in Eastern Europe? Aggregate Versus Sectoral Stock Market Data*

Performance of Risk Measures in Portfolio Construction on Central and South-East European Emerging Markets

Environmentally sustainable investment: Dynamics between global thematic indices

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