Financial Market Dynamics in an Enlarged European Union

Dimitris F. Kenourgios · Aristeidis Samitas · Nikos Paltalidis

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Abstract

This paper provides evidence of integration in European equity and bond markets over the period January 2, 1997 to October 1, 2006.Our focus is to examine time-varying correlation dynamics in Euro-area, Central European (CE) and Balkan financial markets, modifying the asymmetric generalized dynamic conditional correlation (AG-DCC) model developed by Cappiello, Engle and Sheppard (Journal of Financial Econometrics, 2006).Using structural breaks, we identify the optimal time decay where financial markets share highest comovement.The results show an increase in the level of dependence during the period of the internet bubble collapse (2000), the Balkan countries start formally discussions to join European Union (2000), the introduction of Euro banknotes and coins (2002) and the entry of CE countries in EU (2004).The CE European and Balkan countries become gradually more integrated with the EMU countries, which is consistent with the interpretation that these countries may be expected to

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1988Statistical analysis of cointegration vectors 2002Dynamic Conditional Correlation 1996Residual-based tests for cointegration in models with regime shifts 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns 1997Emerging equity market volatility 1987COINTEGRATION AND ERROR CORRECTION: REPRESENTATION 2000Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models

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2016In search of the determinants of European asset market comovements 2012A dynamic conditional correlation analysis of European stock markets from the perspective of the Greek sovereign debt crisis 2017Business and Financial Cycles in the Eurozone: Synchronization or Decoupling

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