Objective
The aim of this project is to give a first comprehensive view of the state of development and (time-varying) integration of CEE equity markets with Western European equity markets. While we do not have enough data to make meaningful and statistically relia ble statements about expected returns using historical returns alone, we have at least 10 years of high frequency data. Hence, we can make rather precise statements about volatility and correlations. Therefore, this study sets out to characterize the exten t and time variation in return co-movements between CEE markets and the European and US equity markets. This is an indirect but useful measure of market integration, because when markets integrate, more of their return volatility will be driven by shocks f rom the developed markets. We improve upon the present research in several ways. First, contrary to other studies, we use firm-level data instead of aggregate indices. This allows us to construct tailor-made indices as well as a large number of instruments related to market development, market liquidity, concentration, and industry alignment with other markets (see Section B for more details). Second, while previous studies have focused mainly on the three largest markets (Poland, the Czech Republic, and Hu ngary), we also include Estonia, Latvia, Lithuania, Russia, Slovenia, and the Slovak Republic. Third, for all countries, we are compiling a timeline of important political, economic, and legal events that could potentially be important for the further deve lopment of capital markets in general and equity markets in particular. Fourth, we provide for a new methodology that allows for a joint determination of expected returns and conditional volatilities (correlations) in an environment of time-varying market integration.
Fields of science (EuroSciVoc)
CORDIS classifies projects with EuroSciVoc, a multilingual taxonomy of fields of science, through a semi-automatic process based on NLP techniques. See: The European Science Vocabulary.
CORDIS classifies projects with EuroSciVoc, a multilingual taxonomy of fields of science, through a semi-automatic process based on NLP techniques. See: The European Science Vocabulary.
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Keywords
Project’s keywords as indicated by the project coordinator. Not to be confused with the EuroSciVoc taxonomy (Fields of science)
Project’s keywords as indicated by the project coordinator. Not to be confused with the EuroSciVoc taxonomy (Fields of science)
Programme(s)
Multi-annual funding programmes that define the EU’s priorities for research and innovation.
Multi-annual funding programmes that define the EU’s priorities for research and innovation.
Topic(s)
Calls for proposals are divided into topics. A topic defines a specific subject or area for which applicants can submit proposals. The description of a topic comprises its specific scope and the expected impact of the funded project.
Calls for proposals are divided into topics. A topic defines a specific subject or area for which applicants can submit proposals. The description of a topic comprises its specific scope and the expected impact of the funded project.
Call for proposal
Procedure for inviting applicants to submit project proposals, with the aim of receiving EU funding.
Procedure for inviting applicants to submit project proposals, with the aim of receiving EU funding.
FP6-2004-MOBILITY-5
See other projects for this call
Funding Scheme
Funding scheme (or “Type of Action”) inside a programme with common features. It specifies: the scope of what is funded; the reimbursement rate; specific evaluation criteria to qualify for funding; and the use of simplified forms of costs like lump sums.
Funding scheme (or “Type of Action”) inside a programme with common features. It specifies: the scope of what is funded; the reimbursement rate; specific evaluation criteria to qualify for funding; and the use of simplified forms of costs like lump sums.
Coordinator
TILBURG
Netherlands
The total costs incurred by this organisation to participate in the project, including direct and indirect costs. This amount is a subset of the overall project budget.