In this paper we use nonlinear tests to investigate the mean reverting properties of stock returns in a group of CEE markets. We also test whether returns in our target group of countries demonstrate characteristics of persistence and cross sectional dependence. Our results indicate that all...

The importance of Central and Eastern European (CEE) stock markets grew after 1990 as they were gradually used as diversification instruments for the foreign investors as well as due to the general expectation of their integration within the European capital market. This development generated an...

The financial crisis of 2008 quickly spread from the USA to the world's major economies and might have impacted on the persistence of unemployment. This might happen because the crisis ushered in recession to every country affected and, in the aftermath, most countries have pursued austerity...

During the transition to a market economy in Russia, the Bank of Russia assumed responsibility for setting and implementing monetary policy. As transition progressed, this involved establishing annual declining target rates for inflation and intermediate targets for the growth rate of M2 money...

The concept of market efficiency has been investigated thoroughly in recent years, with most studies focussing on developed economies. Far fewer investigations have been carried out into emerging markets, and results have been mixed. Some emerging markets appear to be weak form efficient whereas...

The financial crisis of 2008 provides an interesting opportunity to investigate the effect of the crisis on the capital structure decisions of firms. Over the years, capital structure choice has attracted considerable attention in the literature and is important to firms, investors and policy...

This paper investigates stock market convergence of Central and Eastern European (CEE) countries to the rest of Europe. Three approaches are used to obtain time-varying estimates of the comovement between returns on CEE and EU stock exchanges: (1) realised correlation analysis; (2) rolling unit...

In this paper we provide an insight into the inflation dynamics in a panel of Central and Eastern European countries. These countries are selected because of their increasing importance in the EU and their likely increased future importance in monetary policy decisions inside the euro area. By...

The use of the GARCH-class of models is commonplace when examining stock market returns. In this paper we use data on stock markets in two transition economies to demonstrate the importance of using the correct GARCH specification. When returns are characterised by ‘fat tails’ or kurtosis...

This paper analyses the empirical fulfilment of the Real Interest Rate Parity (RIRP) theory for a pool of Central and Eastern European Countries. To do so, we apply the recently developed Ng and Perron (2001) unit root tests, that are corrected versions of existing unit root tests and the...