Abstract
This article studies the linkages among the stock markets of Bulgaria, Czech Republic, Estonia, Hungary, Poland, Romania, Russia, Serbia, Slovenia and Ukraine. The empirical analysis begins with the estimation of a regional market model, whose beta parameters depend on predetermined information variables. Those parameters support the calculation of time‑varying Treynor ratios used on a comparative performance analysis. A Vector Auto Regressive Model (VAR) is used to estimate the performance causality within this group of markets. The VAR model results provide evidence that there is reciprocal performance across the majority of the selected stock markets.
Highlights
The empirical analysis of the present article evaluates the linkages between the Eastern Europe stock markets of Bulgaria, Czech Republic, Estonia, Hungary, Poland, Romania, Russia, Serbia, Slovenia and Ukraine
All the markets belong to former socialist economies, whose stock market activity is relatively recent, and which are classified as emerging markets (Czech Republic, Hungary, Poland, Russia) and frontier markets (Bulgaria, Estonia, Romania, Serbia, Slovenia, and Ukraine), by the Morgan Stanley Capital International (MSCI) classification
The differences between those economies during the period under analysis is an additional challenge to study the linkages between their stock markets. This group includes Estonia and Slovenia, which are both members of the European Union and of the Euro area, Bulgaria, Czech Republic, Hungary, Poland and Romania, which are members of the European Union but not of Euro area, and Russia, Serbia and Ukraine, which are not members of the European Union
Summary
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