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Stock Market Crises and Portfolio Diversification in Central and Eastern Europe


Plamen Georgiev Patev


Tsenov Academy of Economics - Faculty of Finance

Nigokhos Krikorov Kanaryan


New Bulgarian University

January 2003

Tsenov Academy of Economics Department of Finance and Credit Working Paper No. 03-02

Abstract:     
We investigate the Central and Eastern European equity market co-movements before, during and after major emerging market crises. Our study is based on the concept of co-integration. We examine the impact caused by the crisis on the gains of international portfolio diversification in Central and Eastern Europe. The results of the co-integration tests indicate that there is no long-run relationship between the US and the four Central European stock markets. We find a feedback effect and causality in one direction during and after the crisis period. Portfolio benefits decrease in the crisis period but they increase in the post-crisis period.

Number of Pages in PDF File: 30

Keywords: Central and Eastern Europe, Stock market integration, Co-integration, Portfolio diversification

JEL Classification: C32, G15, N20

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Date posted: March 6, 2003  

Suggested Citation

Patev, Plamen Georgiev and Kanaryan, Nigokhos Krikorov, Stock Market Crises and Portfolio Diversification in Central and Eastern Europe (January 2003). Tsenov Academy of Economics Department of Finance and Credit Working Paper No. 03-02. Available at SSRN: http://ssrn.com/abstract=367882 or http://dx.doi.org/10.2139/ssrn.367882

Contact Information

Plamen Georgiev Patev (Contact Author)
Tsenov Academy of Economics - Faculty of Finance ( email )
2 Emanuil Chakarov Street
Svishtov
Bulgaria
(00359631)279261 (Phone)
Nigokhos Krikorov Kanaryan
New Bulgarian University
21 Montevideo Str.
Sofia, 1618
Bulgaria
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