Dynamic linkages between international stock markets : evidence for Eestern Europe
This study examines the existence of dynamic linkages between six stock markets for the period from 1/9/1995 to 8/6/2009. We used data from two developed markets the United States and the United Kingdome and four major European emerging stock markets, Russia, Poland, Hungary and Czech Republic. With particular attention to the influence of the Russian Financial crisis we used an autoregressive VAR model and the Granger causality test to detect the interdependence of the above markets. One major finding is that the Eastern European stock markets have become more internationally integrated after the Russian crisis of 1998 and that the market of United States is the one that affects all the emerging markets but not vice versa..