Public Sector Economics

1223
Views



501
Downloads

An international integration history of the Zagreb Stock Exchange



Luka Šikić*
   
Mislav Šagovac**
Article   |   Year:  2017   |   Pages:  227 - 257   |   Volume:  41   |   Issue:  2
Received:  December 21, 2016   |   Accepted:  March 14, 2017   |   Published online:  June 15, 2017
Download citation        https://doi.org/10.3326/pse.41.2.4       


  1. Baele, L. [et al.], 2004. Measuring financial integration in the Euro area. Oxford Review of Economic Policy, 20(4), pp. 509-530 [CrossRef]

  2. Berglof, E. [et al.], 2009. Understanding the crisis in emerging Europe. EBRD Working Paper, No. 109. 

  3. Bollerslev, T., 1986. Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), pp. 307-327 [CrossRef]

  4. Capiello, L., Engle, R. and Sheppard, K., 2006a. Asymmetric dynamics in the correlations of global equity and bond returns. Journal of Financial Econometrics, 4(4), pp. 537-572 [CrossRef]

  5. Cappiello, L. [et al.], 2006b. Financial integration of new EU member states. European Central Bank Working Paper, No. 683. 

  6. Dajcman, S., 2013. Dependence between Croatian and European stock markets – A copula GARCH approach. Zbornik radova ekonomskog fakulteta u Rijeci, 31(2), pp. 209-232.

  7. Egert, B. and Kocenda, E., 2007. Interdependence between Eastern and Western European stock markets: evidence from intraday data. Economic Systems, 31(2), pp. 184-203 [CrossRef]

  8. Engle, R. F. and Granger, C. W. J., 1987. Co-Integration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55(2), pp. 251-276 [CrossRef]

  9. Engle, R. F. and Sheppard, K., 2001. Theoretical and empirical properties of dynamic conditional correlation MVGARCH. University of California. Economic Working Paper Series, No. 8554.

  10. Engle, R. F., 1982. Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation. Econometrica, 50(4), pp. 987-1008 [CrossRef]

  11. Forbes, K., 2004. The Asian flu and Russian virus: the international transmission of crises in firm-level data. Journal of International Economics, 63(1), pp. 59-92 [CrossRef]

  12. Gelos, R. G. and Sahay, R., 2000. Financial market spillovers in transition economies. IMF Working Papers, No. 00/71.

  13. Gijka, D. and Horvath, R., 2012. Stock market co-movements in Central Europe: evidence from asymmetric DCC model. Working Papers Series, No. 1035.

  14. Glosten, L., Jarannthan, R. and Runkle, E. D., 1993. Relationship between the expected value and volatility of the nominal excess returns on stocks. Journal of Finance, 48(5), pp. 1779-1802 [CrossRef]

  15. Horvath, R. and Petrovski, D., 2013. International Stock Market Integration: Central and South Eastern Europe Compared. Economic Systems, 37(1), pp. 81-91 [CrossRef]

  16. Ivanov, M. 2014. Volatility spillovers and stock market co-movements among Western, Central and Southeast European stock markets. European Journal of Economics and Management, 1(1), pp. 47-72.

  17. Jochum, C., Kirchgassner, G. and Platek, M., 1999. A long-run relationship between Eastern European stock markets? Cointegration and the 1997/98 crisis in emerging markets. Weltwirtschaftliches Archiv, 135, pp. 454-479 [CrossRef]

  18. Kassim, S. H., 2010. Global financial crisis and integration of Islamic stock markets in developed and developing countries. Institute of Developing Economies Japan External Trade Organization, V.R.F Series, No. 461.

  19. Kenourgios, D., Samitas, A. and Paltalids, N., 2009. Financial market dynamics in an enlarged European Union. Journal of Economic Integration, 24(2), pp. 197-221 [CrossRef]

  20. Egert, B. and Kocenda, E., 2011. Time-varying synchronization of European stock markets. Empirical Economics, 40(2), pp. 393-407 [CrossRef]

  21. Macdonald, R., 2001. “Transformation of external shocks and capital market integration” in: M. Schröder, ed. The new capital markets in Central and Eastern Europe. Berlin: Springer Verlag, pp. 164-191.

  22. Manda, K., 2010. Stock market volatility during the 2008 financial crisis. Glucksman Institute for Research in Securities Markets. Working Paper, No. 09.

  23. Melitz, J. and Zumer, F. 1999. Interregional and international risk sharing and lessons for EMU. Carnegie–Rochester Conference Series on Public Policy, No. 51.

  24. Nelson, D., 1991. Conditional heteroskedasticity in asset returns: a new approach. Econometrica, 59(2), pp. 347-70 [CrossRef]

  25. Syriopoulos, T. and Roumpis, E., 2009. Dynamic correlations and volatility effects in the Balkan equity markets. Journal of International Financial Markets, Institutions and Money, 19 (1), pp. 565-587 [CrossRef]

  26. Syriopoulos, T., 2004. International portfolio diversification to Central European stock markets. Applied Financial Economics, 14(17), pp. 1253-1268 [CrossRef]

  27. Voronkova, S., 2004. Equity market integration in Central European Emerging markets: a co-integration analysis with shifting regimes. International Review of Financial Analysis, 13(5), pp. 633-647 [CrossRef]

  28. Wang, P. and Moore, T., 2008. Stock market integration for the transition economies: time-varying conditional correlation approach. The Manchester School, 76(s1), pp. 116-133 [CrossRef]

  June, 2017
II/2017