New empirical evidence on CEE's stock markets integration

Boțoc, Claudiu; Anton, Sorin Gabriel

doi:10.1111/twec.12961

Cited by 16 publications

(9 citation statements)

References 28 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Similarly, whereas contagion often emerged during past European crises, Boţoc and Anton (2020) find that this typically proved to to be a short-lived phenomenon and was not necessarily indicative of greater longer-run cointegration.…”

mentioning

confidence: 69%

Relative Stock Market Performance during the Coronavirus Pandemic: Virus vs. Policy Effects in 80 Countries

Burdekin

Harrison

2021

JRFM

View full text Add to dashboard Cite

This paper examines relative stock market performance following the onset of the coronavirus pandemic for a sample of 80 stock markets. Weekly data on coronavirus cases and deaths are employed alongside Oxford indices on each nation’s stringency and government support intensity. The results are broken down both by month and by geographical region. The full sample results show that increased coronavirus cases exert the expected overall effect of worsening relative stock market performance, but with little consistent impact of rising deaths. There is some evidence of significantly negative stock market effects arising from lockdowns as reflected in the Oxford stringency index. There are also positive reactions to government support in March and December in the overall sample—combined with some additional pervasive effects seen in mid-2020 in Latin America.

show abstract

mentioning

confidence: 69%

Relative Stock Market Performance during the Coronavirus Pandemic: Virus vs. Policy Effects in 80 Countries

Burdekin

Harrison

2021

JRFM

View full text Add to dashboard Cite

show abstract

“…However, stock markets with limited trade volumes and efficiency, like those of Slovakia, Serbia, and Bosnia, tend not to show signs of integration. Meanwhile, Boţoc and Anton (2020) indicated that CEE stock markets hold short and long-run co-integration with the stock markets of Germany, the UK, and the USA.…”

Section: Literature Reviewmentioning

confidence: 99%

Diversification Perspectives of a Single Equity Market: Analysis on the Example of Selected CEE Countries

Aliu

Nuhiu³

et al. 2021

CER

View full text Add to dashboard Cite

The study addresses the benefits of a unified stock market in terms of diversification risk for the eight CEE stock markets. For this purpose, each stock market was treated as a separate portfolio based on the companies listed during 2018–2019. Portfolio diversification techniques were used to identify risk linked with the eight Central Eastern European stock markets. The results show that the stock market with the lowest diversification risk was the Bulgarian Stock Exchange, followed by the Prague Stock Exchange, the Ljubljana Stock Exchange, and at the end stands the Zagreb Stock Exchange. The portfolio constructed from the Zagreb Stock Exchange carries the highest portfolio risk, but it also offers the highest weekly weighted average returns. Stock markets that benefit in terms of portfolio risk from unification are the Bratislava Stock Exchange, the Budapest Stock Exchange, the Bucharest Stock Exchange, the Warsaw Stock Exchange, and the Zagreb Stock Exchange. The indexes where the portfolio risk increases at the time of unification are the Bulgarian Stock Exchange, the Ljubljana Stock Exchange, and the Prague Stock Exchange. From a managerial perspective, financial investors get a novel outlook on the diversification possibilities offered within a hypothetical unified CEE stock market.

show abstract

“…Previous studies related to dynamics and linkages between the stock markets of the Visegrad Group have mainly focused on the interrelationships, the level of integration and contagion effects with the developed stock markets (Wang and Moore, 2008;Syllignakis and Kouretas, 2011;Gjika and Horváth, 2013;Baumöhl, 2013;Boţoc, 2017;Horváth et al, 2018;Živkov et al, 2019;Boţoc and Anton, 2020;Tilfani et al, 2020). For example, Wang and Moore (2008) used DCC-GARCH model and found, that correlation between CEE stock markets and aggregate Eurozone market increased during the financial crises and after EU accession.…”

Section: Literature Reviewmentioning

confidence: 99%

Commonalities in Returns in the Stock Markets of the Visegrad Group: A Quantile Coherency Approach

Łęt¹

2020

FAI

View full text Add to dashboard Cite

The aim of this paper is to investigate the dependence structure in the frequency domain for the joint distribution of returns from the stock markets in the countries belonging to the V4 countries. We analyze twenty-years of historical daily prices of four main stock indices from the Czech Republic, Hungary, Poland, and Slovakia. Using a quantile coherency measure we found, that linkages between Czech, Hungarian, and Polish stock markets are significantly positive for all considered quantiles and frequencies. These three markets are more strongly dependent during the long downturns and the effect is permanent after the European Union accession. The Slovak stock market is the least connected with other countries in the group. Results of the paper revealed, that Czech, Hungarian and Polish stock market is subject to similar trends in terms of returns for different investment horizons. International market participants should incorporate interdependencies between these markets during the portfolio building process.

show abstract

New empirical evidence on CEE's stock markets integration

Cited by 16 publications

References 28 publications

Relative Stock Market Performance during the Coronavirus Pandemic: Virus vs. Policy Effects in 80 Countries

Relative Stock Market Performance during the Coronavirus Pandemic: Virus vs. Policy Effects in 80 Countries

Diversification Perspectives of a Single Equity Market: Analysis on the Example of Selected CEE Countries

Commonalities in Returns in the Stock Markets of the Visegrad Group: A Quantile Coherency Approach

Contact Info

Product

Resources

About