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What drives the stock market integration in the CEE-3?
Výrost, Tomáš; Baumöhl, Eduard; Lyócsa, Štefan - 2013
In this article, we study the possible explanatory power of macroeconomic factors that may drive the stock market integration between the Czech Republic, Poland and Hungary (CEE-3) and developed countries, using Germany as a benchmark. Our findings suggest that the recent global financial crisis...
Persistent link: https://www.econbiz.de/10011638352
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EU stock markets vs. Germany, UK and US : analysis of dynamic comovements using time-varying DCCA correlation coefficients
Tilfani, Oussama; Ferreira, Paulo; Dionísio, Andreia … - In: Journal of risk and financial management : JRFM 13 (2020) 5/91, pp. 1-23
-and the countries of the European Union, divided into two groups: Eurozone and non-Eurozone. Correlation coefficients based on … a detrended cross-correlation analysis (DCCA) were used, and the respective temporal variation was evaluated. Given the …
Persistent link: https://www.econbiz.de/10012304724
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How smooth is the stock market integration of CEE-3?
Baumöhl, Eduard; Lyócsa, Štefan - 2014
Persistent link: https://www.econbiz.de/10010412920
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European equity market integration and joint relationship of conditional volatility and correlations
Virk, Nader; Javed, Farrukh - In: Journal of international money and finance 71 (2017), pp. 53-77
Persistent link: https://www.econbiz.de/10011787669
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From Black Wednesday to Brexit : macroeconomic shocks and correlations of equity returns in France, Germany, Italy, Spain, and the United Kingdom
Gottschalk, Sylvia - In: International journal of finance & economics : IJFE 28 (2023) 3, pp. 2843-2873
Persistent link: https://www.econbiz.de/10014327598
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European equity market contagion : an empirical application to Ireland's sovereign debt crisis
Corbet, Shaen; Twomey, Cian - In: European financial and accounting journal : EFAJ 10 (2015) 3, pp. 15-34
sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH model is used to estimate to what extent the …
Persistent link: https://www.econbiz.de/10011471074
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Time varying integration of European stock markets and monetary drivers
Lee, Hyunchul; Kim, Heeho - In: Journal of empirical finance 58 (2020), pp. 369-385
Persistent link: https://www.econbiz.de/10012430711
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Stock market integration between the UK and the US : evidence over eight decades
Aladesanmi, Olalekan; Casalin, Fabrizio; Metcalf, Hugh - In: Global finance journal 41 (2019), pp. 32-43
Persistent link: https://www.econbiz.de/10012257057
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Assessing time-varying stock market integration in Economic and Monetary Union for normal and crisis periods
Sehgal, Sanjay; Gupta, Priyanshi; Deisting, Florent - In: The European journal of finance 23 (2017) 10/12, pp. 1025-1058
Persistent link: https://www.econbiz.de/10011741442
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The spillover effect on the CEE equity markets and the financial contagion In the context of financial integration
Boghicevici, Claudia; Stamule, Simona; Lolea, Iulian Cornel - In: Romanian journal of economic forecasting 24 (2021) 4, pp. 155-170
Persistent link: https://www.econbiz.de/10013407269