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The comovements of stock markets in Hungary, Poland and the Czech Republic

✍ Scribed by Martin Scheicher

Publisher
John Wiley and Sons
Year
2001
Tongue
English
Weight
168 KB
Volume
6
Category
Article
ISSN
1076-9307

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✦ Synopsis

Abstract

In this paper, we study the regional and global integration of stock markets in Hungary, Poland and the Czech Republic. We estimate a vector autoregression with a multivariate GARCH component and perform a variety of diagnostic tests. Our main empirical result is the existence of limited interaction: in returns we identify both regional and global shocks, but innovations to volatility have a primarily regional character. We document low correlations to international markets and discuss the economic significance of the inter‐market dynamics. Copyright © 2001 John Wiley & Sons, Ltd.

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