Are South East Europe Stock Markets Integrated with Regional and Global Stock Markets?

Guidi, Francesco; Uğur, Mehmet

doi:10.2139/ssrn.2210925

Cited by 6 publications

(2 citation statements)

References 65 publications

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“…They indicated that the MOEX index lacked an appropriate transmission channel or mechanism from informed investors to the other markets. Guidi and Ugur (2013) indicated that the correlation structures between the U.K., the U.S. and the southern and eastern European equity markets had changed over time around the subprime crisis between 2007 and 2009. Thalassinos et al (2015) found that there existed different channels of influence in the developed western European countries, the U.S. and Japan, i.e., the mature capital markets, and in the southern and eastern European emerging countries (Greece, Romania, Hungary, Poland, and Slovenia) during the subprime crisis.…”

Section: Empirical Research Of Contagion Effectmentioning

confidence: 99%

The asymmetric contagion effect from the U.S. stock market around the subprime crisis between 2007 and 2010

Kao

Zhao

et al. 2019

Economic Research-Ekonomska Istraživanja

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This study employed Enders and Siklos asymmetric co-integration frameworks, including the momentum threshold autoregressive (M-TAR) and logistic smooth transition co-integration (LSTC) models, to investigate whether contagion effects had existed in international stock markets by using the changes in the asymmetric co-integration relationships between the U.S. S&P 500 Index and a total of 23 markets in Asia, Europe, and America during the subprime crisis. The main findings demonstrated that the subprime crisis did not reinforce co-movement trends between the S&P 500 Index and these stock markets, by the application of the Engle-Granger (1987) symmetric co-integration test. However, with the application of the asymmetric co-integration frameworks, both M-TAR and LSTC showed there existed contagion effects between them in the aftermath of Lehman Brothers' bankruptcy in 2008; transition speeds between these two regimes also substantially increased in the LSTC during the financial crisis. Only the Chinese market was not affected by the U.S. market during this crisis; only an interdependence effect existed between the U.S. and China. The subprime crisis determined the degree of contagion, depending on the financial linkage to the U.S. market, which further demonstrates the differences in the causes and influence between the subprime crisis and other financial crises in emerging markets.

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Section: Empirical Research Of Contagion Effectmentioning

confidence: 99%

The asymmetric contagion effect from the U.S. stock market around the subprime crisis between 2007 and 2010

Kao

Zhao

et al. 2019

Economic Research-Ekonomska Istraživanja

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show abstract

“…The data is consist of Stock index closing prices weekly from January 2, 1991 to July 6, 2017. We use weekly prices to minimize effects of cross-country differences in weekend market closures 3 . Because China and US stock market trading day is slightly different, this paper deletes some transaction data that two markets do not overlap.…”

Section: Data Selection and Processingmentioning

confidence: 99%

Analysis of the Linkage between China and US Stock Markets

Lin¹,

Liu²

2017

Proceedings of the Second International Conference on Economic and Business Management (FEBM 2017)

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With the prosperity of China financial markets, the influence of China stock market is further enhanced. This paper analyses the linkage of China and US stock markets. The data consists weekly price index values for Shanghai Composite Index and the Nasdaq Index from 1991 to 2017. Results show that in all period US stock market has a single Granger causality with China market. China and US stock market have causal relationship with long-term stability after 2008 financial crisis, but there is one-way impact without long-term stability before the crisis. Finally, this paper explores that development of China capital market and economic power contributes to the results.

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ARDL panel estimation of stock market indices and macroeconomic environment of CEE and SEE countries in the last decade of transition

2017

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We tested the hypothesis of the procyclicality of stock exchanges regarding the economic activity of CEE and SEE countries, to measure the level of financial integration during the last decade of the transition period, and to compare these two groups of emerging countries. Our ARDL panel estimates support the hypothesis of procyclicality in the transition period in the CEE and SEE regions, and further financial integration, due to the opening up of the market economy and repricing of systematic risk, followed by large capital inflows, trade liberalization and industrial production, along with the implementation of institutional reforms regarding EU integration. In addition, the significant positive coefficient of capital inflows and negative coefficient of unemployment rate in the CEE and SEE panel ARDL results confirm the volatility of the transition process, as is obvious in higher industrial production, followed by the significant impact of import on CEE countries and the much higher significant impact of export on SEE countries. Keywords Panel estimation. Stock exchange. Central and Eastern Europe. South East Europe. Financial integration JEL classifications E44. F36. F43. G1

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Are South East Europe Stock Markets Integrated with Regional and Global Stock Markets?

Cited by 6 publications

References 65 publications

The asymmetric contagion effect from the U.S. stock market around the subprime crisis between 2007 and 2010

The asymmetric contagion effect from the U.S. stock market around the subprime crisis between 2007 and 2010

Analysis of the Linkage between China and US Stock Markets

ARDL panel estimation of stock market indices and macroeconomic environment of CEE and SEE countries in the last decade of transition

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