Empirical Economics

, Volume 39, Issue 2, pp 337–351 | Cite as

Stock market integration between new EU member states and the Euro-zone

  • Christos S. SavvaEmail author
  • Nektarios Aslanidis
original paper


This paper measures the degree in stock market integration between five Eastern European countries and the Euro-zone. A potentially gradual transition in correlations is accommodated by smooth transition conditional correlation models. We find that the Czech, Slovenian and Polish markets have increased their correlation to the Euro-zone from 1997 to 2008. However, this is not a broad-based phenomenon across Eastern Europe. The results also show that the increase in correlations is not a reflection of a world-wide phenomenon of financial integration but is mainly driven by EU-related developments.


Multivariate GARCH Smooth transition conditional correlation Stock return comovement New EU members 

JEL Classification

C32 C51 F36 G15 


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Copyright information

© Springer-Verlag 2009

Authors and Affiliations

  1. 1.Department of Commerce, Finance and ShippingCyprus University of TechnologyLimassolCyprus
  2. 2.Department of EconomicsUniversity Rovira VirgiliReusSpain

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