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Stock Market Integration of the European Emerging Markets: Rolling Window and Dynamic Conditional Correlation Approaches

Kashyna, Olena LU and Sotnyk, Kateryna LU (2010) NEKM01 20101
Department of Economics
Abstract
This essay investigates the extent to which the four emerging Central Eastern European stock markets of the Czech Republic, Hungary, Poland and Ukraine have become integrated with the developed market of the European Union over the sample period from 1997 to 2010. Rolling-window correlation and a more advanced, dynamic conditional correlation approach with GARCH and EGARCH specifications are utilized to measure the level of integration. According to our estimates, the level of integration for new EU members has substantially increased over the last years, especially after these countries’ admission to the European Union in 2004. For Ukraine, the correlation coefficient is lower and fluctuates less, which indicates that this country can... (More)
This essay investigates the extent to which the four emerging Central Eastern European stock markets of the Czech Republic, Hungary, Poland and Ukraine have become integrated with the developed market of the European Union over the sample period from 1997 to 2010. Rolling-window correlation and a more advanced, dynamic conditional correlation approach with GARCH and EGARCH specifications are utilized to measure the level of integration. According to our estimates, the level of integration for new EU members has substantially increased over the last years, especially after these countries’ admission to the European Union in 2004. For Ukraine, the correlation coefficient is lower and fluctuates less, which indicates that this country can still be considered for diversification purposes. (Less)
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author
Kashyna, Olena LU and Sotnyk, Kateryna LU
supervisor
organization
course
NEKM01 20101
year
type
H1 - Master's Degree (One Year)
subject
keywords
market integration, equity correlations, DCC-GARCH, Central and Eastern European countries, stock markets, international diversification
language
English
id
1612490
date added to LUP
2010-06-14 12:57:29
date last changed
2010-06-14 12:57:29
@misc{1612490,
  abstract     = {This essay investigates the extent to which the four emerging Central Eastern European stock markets of the Czech Republic, Hungary, Poland and Ukraine have become integrated with the developed market of the European Union over the sample period from 1997 to 2010. Rolling-window correlation and a more advanced, dynamic conditional correlation approach with GARCH and EGARCH specifications are utilized to measure the level of integration. According to our estimates, the level of integration for new EU members has substantially increased over the last years, especially after these countries’ admission to the European Union in 2004. For Ukraine, the correlation coefficient is lower and fluctuates less, which indicates that this country can still be considered for diversification purposes.},
  author       = {Kashyna, Olena and Sotnyk, Kateryna},
  keyword      = {market integration,equity correlations,DCC-GARCH,Central and Eastern European countries,stock markets,international diversification},
  language     = {eng},
  note         = {Student Paper},
  title        = {Stock Market Integration of the European Emerging Markets: Rolling Window and Dynamic Conditional Correlation Approaches},
  year         = {2010},
}