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  • 标题:Stock Markets Integration between Western Europe and Central and South-Eastern Europe: Latest Trends
  • 本地全文:下载
  • 作者:Jelena Minović ; Irena Janković ; Vlado Kovačević
  • 期刊名称:Economic Analysis
  • 印刷版ISSN:1821-2573
  • 电子版ISSN:2560-3949
  • 出版年度:2022
  • 卷号:55
  • 期号:1
  • 页码:63-75
  • DOI:10.28934/ea.22.55.1.pp63-75
  • 语种:English
  • 出版社:Institute of Economic Sciences
  • 摘要:The aim of the paper is to examine the stock market integration between Western Europe and selected countries of Central (Austria, Czech Republic, Poland, Hungary, Slovakia, and Slovenia) and South-Eastern Europe (Greece, Croatia, Serbia, Bosnia, Bulgaria, and Romania). In order to achieve this goal, we used a bivariate BEKK model to obtain time-varying covariances and correlations for the period April 15, 2013 - March 29, 2019. Our results showed that Austria has the highest degree of integration among countries in Central Europe, followed by the Czech Republic, Poland and Hungary. Additionally, Greece has the highest degree of integration among all countries in South-Eastern Europe, followed by Romania, and Croatia. Thus, stock markets of Central Europe are more integrated with Western Europe than stock markets of South-Eastern Europe.
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