Skip to main content
Przejdź do strony domowej Komisji Europejskiej (odnośnik otworzy się w nowym oknie)
polski pl
CORDIS - Wyniki badań wspieranych przez UE
CORDIS
Zawartość zarchiwizowana w dniu 2024-05-29

Equity Market Integration in Central and Eastern Europe.

Cel

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.

Dziedzina nauki (EuroSciVoc)

Słowa kluczowe

Temat(-y)

Zaproszenie do składania wniosków

FP6-2004-MOBILITY-5
Zobacz inne projekty w ramach tego zaproszenia

System finansowania

EIF - Marie Curie actions-Intra-European Fellowships

Koordynator

STICHTING KATHOLIEKE UNIVERSITEIT BRABANT
Wkład UE
Brak danych
Koszt całkowity
Brak danych