HARRISON, B. and MOORE, W., 2009. Spillover effects from London and Frankfurt to Central and Eastern European stock markets. Applied Financial Economics, 19 (18), pp. 1509-1521.
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This paper 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 realised correlation ratios and cointegration statistics, use a two-step technique to derive timevarying estimates of the comovement between returns on CEE and EU stock exchanges. The first step uses common factor analysis to define the factors driving CEE stock exchanges, while the second step evaluates the relationship between the leading principal factor for CEE countries and the DAX and FTSE using time-varying realised correlation and rolling cointegration statistics. The third approach employs multivariate GARCH techniques to obtain estimates of mean and variance spillover effects.
|Item Type:||Journal article|
|Publication Title:||Applied Financial Economics|
|Creators:||Harrison, B. and Moore, W.|
|Publisher:||Taylor & Francis (Routledge)|
|Divisions:||Schools > Nottingham Business School|
|Depositing User:||EPrints Services|
|Date Added:||09 Oct 2015 10:09|
|Last Modified:||23 Aug 2016 09:08|
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