Stock market integration between new EU member states and the Euro-zone

Savva, Christos S.; Aslanidis, Nektarios

doi:10.1007/s00181-009-0306-6

Cited by 58 publications

(42 citation statements)

References 27 publications

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“…Author also applied the Markov Switching ARCH-L (SWARCH-L) model applied by Hamilton (1994) to study the structural breaks in volatility of the examined markets during the relevant period. Savva and Aslanidis (2007) used the STCC-GARCH methodology to investigate the degree of stock market correlation among five new EU members and the eurozone and demonstrated that the correlation between the Czech and Polish markets and the euro zone has been increasing over the past years, although the phenomenon cannot be said to be widely present in all the transition countries. They have also shown that new EU members have closer ties with the eurozone market than with the US market.…”

Section: Anita Radman Peša Ana Brajkovićmentioning

confidence: 99%

Testing The ‘Black Swan Effect’ on Croatian Stock Market Between 2000 and 2013

Peša

Brajković

2016

emaj

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We tested the economic activity and stock exchange of Croatia as a new country of European Union (EU) in order to investigate the 'Black Swan effect' from 2000 to 2013. The empirical findings obtained in application of OLS methodology and Chow breaking point test provide evidence and show that resignation of the Croatian ex-Prime Minister did lead country successfully to EU. Also, 'The Black Swan' event, being unpredictable and having huge impact on political and economic environment in Croatia obtained through CROBEX, had effect on Croatian stock exchange indices. Authors conclude that, the resignation was connected to one of the first significant cases of corruption in Croatia which had a negative impact on the economic development of the country in general, dealing at the same time with global recession. E44, F36, F43, F47, G15 JEL-Classification:

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Section: Anita Radman Peša Ana Brajkovićmentioning

confidence: 99%

Testing The ‘Black Swan Effect’ on Croatian Stock Market Between 2000 and 2013

Peša

Brajković

2016

emaj

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“…Author also applied the Markov Switching ARCH-L (SWARCH-L) model applied by Hamilton (1994) to study the structural breaks in volatility of the examined markets during the relevant period. Savva and Aslanidis (2007) used the STCC-GARCH methodology to investigate the degree of stock market correlation among fi ve New EU Members and the Eurozone and demonstrated that the correlation between the Czech and Polish markets and the Eurozone has been increasing over the past years, although the phenomenon cannot be said to be widely present in all the transition countries. They have also shown that New EU Members have closer ties with the Eurozone market than with the US market.…”

Section: The Theoretical Background Of Empirical Analysis and Empiricmentioning

confidence: 99%

Testing the "EU Announcement Effect" on Stock Market Indices and Macroeconomic Variables in Croatia Between 2000 and 2010

Peša

Festić²

2012

Prague Economic Papers

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Abstract:We tested the hypothesis of procyclicality against the economic activity and stock exchange of Croatia -as a country preparing for EU accession -in order to investigate the spillover effect, i.e., the degree and pace of integration into larger fi nancial markets such as the EU. The empirical fi ndings obtained in application of OLS methodology for the 2000-2010 period provided evidence that EU accession is a trigger for a closer fi nancial integration of a candidate country as Croatia; and a trigger for a rise in stock prices and economic revival, was refl ected in by an increase in GDP and large FDI.

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“…Such comparisons have also been done by applying conditional correlation (CC) models. Using Constant Conditional Correlation (CCC) and Smooth Transition Conditional Correlation (STCC) models, Savva and Aslanidis (2010) showed that markets in the Czech Republic, Hungary, and Poland revealed stronger correlations with the Euro area than smaller CEE markets like Slovenia and Slovakia. Using the Dynamic Conditional Correlation (DCC) GARCH models, Syllignakis and Kouretas (2011) showed that the 2007-2009 global financial crisis significantly shifted conditional correlation between the developed markets (Germany and US) and emerging CEE markets.…”

Section: Introductionmentioning

confidence: 99%