<abstract xmlns="http://www.w3.org/1999/xhtml"><p> The main goal of this paper is to explicitly test a research hypothesis that there was no integration effect among the U.S. and the eight Central and Eastern European (CEE) stock markets during the 2007-2009 Global Financial Crisis (GFC). As growing international integration could lead to a progressive increase in cross-market correlations, the evaluation of integration was carried out by applying equality tests of correlation matrices computed over non-overlapping subsamples: the pre-crisis and crisis periods, in the group of investigated markets. The crisis periods are formally established based on a statistical method of dividing market states into bullish and bearish markets. The sample period May 2004-April 2014 includes the 2007 U.S. subprime financial crisis. The robustness analysis of the integration tests with respect to various data frequencies is provided. The empirical results are not homogeneous and they depend both on the integration test and data frequency. Consequently, it is not possible to conclude whether integration between the investigated markets is present.</p></abstract>

The main goal of this paper is to explicitly test a research hypothesis that there was no integration effect among the U.S. and the eight Central and Eastern European (CEE) stock markets during the 2007-2009 Global Financial Crisis (GFC). As growing international integration could lead to a progressive increase in cross-market correlations, the evaluation of integration was carried out by applying equality tests of correlation matrices computed over non-overlapping subsamples: the pre-crisis and crisis periods, in the group of investigated markets. The crisis periods are formally established based on a statistical method of dividing market states into bullish and bearish markets. The sample period May 2004-April 2014 includes the 2007 U.S. subprime financial crisis. The robustness analysis of the integration tests with respect to various data frequencies is provided. The empirical results are not homogeneous and they depend both on the integration test and data frequency. Consequently, it is not possible to conclude whether integration between the investigated markets is present.

Testing Integration Effects Between the Cee and U.S. Stock Markets During the 2007–2009 Global Financial Crisis

Białystok University of Technology Faculty of Computer Science, Department of Theoretical Computer Science Wiejska 45A, 15-351 Białystok, Poland

University of Białystok Faculty of Mathematics and Informatics, Institute of Mathematics Department of Applied Mathematics K. Ciołkowskiego 1M, 15-245 Białystok, Poland

Folia Oeconomica Stetinensia

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

The main goal of this paper is to explicitly test a research hypothesis that there was no integration effect among the U.S. and the eight Central and Eastern...

Testing Integration Effects Between the Cee and U.S. Stock Markets During the 2007–2009 Global Financial Crisis

Online veröffentlicht: 30. Dez. 2015

Seitenbereich: 101 - 113

Eingereicht: 15. Sept. 2014

Akzeptiert: 27. Apr. 2015

DOI: https://doi.org/10.1515/foli-2015-0024

Schlüsselwörter
stock market, financial crisis, cross-market correlations, integration

© University of Szczecin

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Testing Integration Effects Between the Cee and U.S. Stock Markets During the 2007–2009 Global Financial Crisis

Online veröffentlicht: 30. Dez. 2015

Seitenbereich: 101 - 113

Eingereicht: 15. Sept. 2014

Akzeptiert: 27. Apr. 2015

DOI: https://doi.org/10.1515/foli-2015-0024

Schlüsselwörterstock market, financial crisis, cross-market correlations, integration

© University of Szczecin

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Schlüsselwörter
stock market, financial crisis, cross-market correlations, integration