Speaker
Description
This paper studies how integrated emerging Central Eastern European markets are with Western Europe and the US. The CEE countries under investigation are Hungary, Romania, Poland, Bulgaria, and the Czech Republic. The variables I use are monthly log prices of national stock market indices and 10-year government bonds yields as proxies for long-term interest rates. The dataset covers the period from January 2005 to October 2023. The issue the paper aims to investigate is the response of CEE markets to shocks from developed markets as a sign of their level of integration. By examining those shocks, I will assess which CEE countries react permanently and which transitorily to disturbances in Western markets. The empirical research is based on the multivariate Johansen cointegration procedure, supported by preliminary bivariate cointegration tests. Though the financial integration of CEE countries has been widely researched considering their EU accession, the number of studies using more recent data is limited. Furthermore, there is little literature investigating both long-term interest rate cointegration and stock market cointegration.
