European Union enlargement and equity markets in accession countries

Abstract

ECB-CFS Research Network on "Capital Markets and Financial Integration in Europe" Financial Integration in Europe". The Network aims at stimulating top-level and policy-relevant research, significantly contributing to the understanding of the current and future structure and integration of the financial Working Paper Series is issuing a selection of papers from the Network. This selection is covering the priority It also covers papers addressing the impact of the euro on financing structures and the cost of capital. The Network brings together researchers from academia and from policy institutions. It has been guided by a Steering Committee composed of Franklin Allen (University of Pennsylvania), Giancarlo Corsetti (European (ECB), Jan Pieter Krahnen (Center for Financial Studies) and Axel Weber (CFS). Mario Roberto Billi, Bernd its work. Jutta Heeg (CFS) and Sabine Wiedemann (ECB) provided administrative assistance in collaboration with staff of National Central Banks acting as hosts of Network events. Further information about the Network can be found at http://www.eu-financial-system.org. areas " European bond markets", " European securities settlement systems", " Bank competition and the geographical University Institute), Jean-Pierre Danthine (University of Lausanne), Vitor Gaspar (ECB), Philipp Hartmann scope of banking activities", " international portfolio choices and asset market linkages" and " start-up financing". This paper is part of the research conducted under the ECB-CFS Research Network on " Capital Markets and system in Europe and its international linkages with the United States and Japan. After two years of work, the ECB Kaltenhä user (both CFS), Simone Manganelli and Cyril Monnet (both ECB) supported the Steering Committee in

Testing The ‘Black Swan Effect’ on Croatian Stock Market Between 2000 and 2013

“…Second sub-period involved the resignation of ex-Prime minister, as well the global financial crisis which spread beyond the national borders and didn't pass-by Croatia. The results of the stability test confirmed the hypothesis of the structural break due the resignation of Croatian prime minister and due the global financial crisis (probability 0.32) (see : Cappiello Testing et al 2006, Dvorák andPodpiera 2006). Rock and Bonnett (2004) verified the negative relationship between corruption and economic growth, and between corruption and investment.…”

Determinants of CEE-4 Stock Market Integration

“…Index MSCI World počas tohto obdobia vzrástol o približne 10 %. Ako argumentujú Dvořák, Podpiera (2006), takýto nárast cien akcií v krajinách V4 mohol byť zapríčinený preceňovaním systematického rizika z dôvodu integrácie lokálnych trhov. Na segmentovanom trhu je zdrojom systematického rizika každého podniku kovariancia výnosov jeho akcií s lokálnym trhom.…”

“…Keďže kovariancia výnosov so svetovým trhom bude zrejme nižšia, ako kovariancia výnosov s lokálnym trhom, proces integrácie akciových trhov by mal zapríčiniť pokles systematického rizika a následný nárast cien akcií. Empirické výsledky v práci Dvořák, Podpiera (2006) však neboli až také presvedčivé, čo mohlo byť zapríčinené aj nízkym počtom pozorovaní a vysokým počtom vysvetľujúcich premenných v modeloch. Ďalším vysvetlením taktiež môže byť fakt, že zahraniční investori síce mali možnosť investovať do krajín V4 ešte pred ich ofi ciálnym vstupom, avšak existovali obavy z politickej nestability a nízkej likvidity.…”

Testing the "EU Announcement Effect" on Stock Market Indices and Macroeconomic Variables in Croatia Between 2000 and 2010

“…They found that the strongest reaction is in the FTSE index. Dvorák and Podpiera (2006) applied the beta-convergence method and observed an increase in stock prices in candidate countries once EU enlargement was announced. They investigated the hypothesis that the rise in stock prices was the result of the reprising of systematic risk due to the integration of accession countries into the world market.…”