Dynamic linkages between international stock markets : evidence for Eestern Europe
Master Thesis
Author
Μητσάκου, Μαρία
Date
2011-10-27View/ Open
Subject
Stock market ; Χρηματιστήρια -- ΕυρώπηAbstract
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..