markets of 17 countries in Western Europe as well as the world market, using time series techniques. Methods: Weekly returns …, Greece, Ireland, Luxembourg, and Norway, which are quite dynamically interlinked within the region as well as with the MSCI …

spectrum of econometric tools (cointegration, VAR model, Granger causality, variance decomposition) and comparison of changes … markets worldwide. Stock markets in Central Europe were not excluded as they are not isolated from global stock markets … markets of selected new EU member states in Central Europe (the Czech Republic, Hungary, and Poland), the global stock market …

We analyze comovements among three stock markets in Central and Eastern Europe and, in addition, interdependence which … stock indices and on the wide range of econometric techniques employed. We find no robust cointegration relationship for any … causality for returns as well as volatility series. The results based on a VAR framework indicate a more limited number of short …

The purpose of this paper is to test whether cointegration and causality relationships exists among the Europrean Stock … of cointegration among these stock markets will show that the advantages one might have by internationally diversifying … important, since Europe faces the most severe financial crisis of its history …

market returns. In this paper, we address this limitation using a structural VAR analysis. Our main findings can be …