An investigation of the linkages between European Union equity markets and emerging capital markets: the East European connection

Abstract

Outlines previous research on cointegration between capital markets and assesses the degree of cointegration between liberalized Eastern European markets (the Czech Republic, Poland and Hungary) and the German and UK markets in the context of increasing foreign investment in Eastern Europe. Uses 1991‐1995 weekly indices to examine stock returns, performing several different tests, and suggests (in contrast to previous findings) that the markets are co‐ordinated for the whol study period. Briefly considers the implications for investment portfolio diversifaction and short‐run investment strategies.

Citation

Dockery, E. and Vergari, F. (2001), "An investigation of the linkages between European Union equity markets and emerging capital markets: the East European connection", Managerial Finance, Vol. 27 No. 1/2, pp. 24-39. https://doi.org/10.1108/03074350110767484