Hellenic Open University Conferences, International Conference on Business & Economics of the Hellenic Open University 2015

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Financial markets integration. Evidence from UE countries from Central and Eastern Europe
Cristian Dumitru Oanea

Building: Titania
Room: Socratis
Date: 2015-02-07 02:00 PM – 03:45 PM
Last modified: 2015-01-27

Abstract


Financial markets integration it is an important topic because it increases the negative effects of the financial crises and transmittance among the markets.

The aim of this research is to detect any significant interactions among the stock markets from the UE countries from the Central and Eastern Europe. We particularly apply cointegration tests for a set of 6 markets (Bulgaria, Czech Republic, Hungary, Poland, Romania and Slovakia). The results highlight that during financial crisis countries seem to show a higher financial integration among them. We found 8 cointegrating relationships during financial crisis and only 2 during the post-crisis period. Financial markets that are found to be closely linked (Czech Republic, Hungary, Romania and Slovakia) determine the spread of financial crisis effects by contributing to contagion in financial markets or if we look from the other side the presence of contagion lead to an increase in the cointegration of the financial markets.

Keywords


financial crisis; cointegration; financial markets; stock prices; Granger causality