Title:

Stock market integration in Central and Eastern Europe

Group publication title:

Ekonomia XXI Wieku = Economics of the 21st Century

Title in english:

Integracja rynku akcji w Europie Środkowo-Wschodniej

Creator:

Kurach, Radosław

Subject and Keywords:

stock market integration ; diversification gains ; common monetary policy

Description:

Ekonomia = Economics, 2011, Nr 2 (14), s. 78-87

Abstrakt:

In this paper we analyze stock market integration across a few CEE countries by estimating the series of regressions of the single-index Sharpe model type. We use MSCI country and regional indices to capture the size of the market (common) risk in the variance of national returns. Our results are somewhat surprising. We note the significant improvement at the stock market integration over the last years. However, the cross-country approach reveals the degree of market integration to be unrelated to the process of political and economic European integration. The results may be useful for both portfolio managers and to some extent for monetary authorities

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2011

Resource Type:

artykuł

Format:

application/pdf

Language:

eng

Relation:

Ekonomia = Economics, 2011, Nr 2 (14)

Rights:

Wszystkie prawa zastrzeżone (Copyright)

Access Rights:

Dla wszystkich w zakresie dozwolonego użytku

Location:

Uniwersytet Ekonomiczny we Wrocławiu