Tsenov Academy of Economics Department of Finance and Credit Working Paper No. 03-02
30 Pages Posted: 6 Mar 2003
Date Written: January 2003
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.
Keywords: Central and Eastern Europe, Stock market integration, Co-integration, Portfolio diversification
JEL Classification: C32, G15, N20
Suggested Citation: 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: https://ssrn.com/abstract=367882 or http://dx.doi.org/10.2139/ssrn.367882