CEU Electronic Theses and Dissertations, 2014
| Author | Albert, Sándor |
|---|---|
| Title | Stock Market Integration of the New EU Member States: a Cointegration-network Approach |
| Summary | In this thesis I analyze whether the stock markets of those countries that joined the European Union in 2004 and afterwards became more integrated with the stock markets of countries that were members of the Union before. In order to answer this question, I apply a network based approach with rolling-windows on a dataset that contains 34 stock market indices in the period from November 2000 to April 2014. I build networks based on the results of the Engle-Granger cointegration test on country stock index pairs. The structure of the links, the time evolution of the degree of each index and the components of the detected communities are analyzed. The results confirm the time varying nature of stock market integration that was previously observed by other studies. Based on my results, new members experienced a period of higher stock market integration right before their accession in 2004. Stock markets overall showed an extremely increased degree of integration beginning with the outburst of the interbank lending crisis and during the global financial and economic crisis. This makes inference about the effect of European Union membership on the stock market integration of countries that joined later (Romania, Bulgaria and Croatia) difficult. |
| Supervisor | Mantegna, Rosario Nunzio |
| Department | Economics MA |
| Full text | https://www.etd.ceu.edu/2014/albert_sandor.pdf |
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