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...

In this article we use nonlinear tests to investigate the mean reverting properties of stock prices in a group of Central and East European (CEE) markets. We also test whether returns in our target group of countries demonstrate characteristics of persistence and cross-sectional dependence. Our...

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...

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...

This article investigates comovement in stock markets between the emerging economies of Central and Eastern Europe (CEE) and the developed markets of Western Europe. Three approaches are employed to examine this issue. The first two approaches, time-varying realized correlation ratios and...

This article investigates comovement in stock markets between the emerging economies of Central and Eastern Europe (CEE) and the developed markets of Western Europe. Three approaches are employed to examine this issue. The first two approaches, time-varying realized correlation ratios and...