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- W1995649211 abstract "This study examines the dynamic linkages between the major equity markets of the world (USA, Japan and Britain) and the emerging markets of South-East Europe (Croatia, Slovenia and Hungary). In particular, we discuss possible differences between their interdependences during the period of the dot-com speculative bubble, as well as during the period of the existing financial crisis caused by deflation of the global “real-estate” bubble. For the purpose of this study, we perform three types of analysis. Firstly, we investigate the long-run relationships between indices by using the Johansen cointegration test. Secondly, we investigate both the short-term and long-term movements in equity markets, modelling them with a VECM. Thirdly, we test for causality between the series by using the Granger causality test. A conclusion is finally drawn that the South-East Europe equity markets have become more integrated with global markets and that they offer limited potential in diversifying the risks." @default.
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- W1995649211 date "2014-03-01" @default.
- W1995649211 modified "2023-09-26" @default.
- W1995649211 title "Modelling the relationship between developed equity markets and emerging equity markets" @default.
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- W1995649211 doi "https://doi.org/10.1109/cifer.2014.6924083" @default.
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