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Time‐Varying World and Regional Integration in Emerging European Equity Markets
Author(s) -
Wang MingChieh,
Shih FengMing
Publication year - 2013
Publication title -
european financial management
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.311
H-Index - 64
eISSN - 1468-036X
pISSN - 1354-7798
DOI - 10.1111/j.1468-036x.2011.00623.x
Subject(s) - economics , spillover effect , equity (law) , depreciation (economics) , emerging markets , recession , volatility (finance) , currency , international economics , monetary economics , regional integration , exchange rate , economic integration , financial integration , floating exchange rate , macroeconomics , financial market , international trade , financial economics , market economy , human capital , finance , capital formation , financial capital , political science , law
This study investigates time‐varying world and regional integration in emerging European markets. Categorising global and regional effects into return and volatility spillovers, we also examine the impact of time variation in these spillover effects based on the conditions of economic growth. Our results show that growth and currency depreciation can predict the degree of integration and spillover effects for these markets. The impact of growth on the level of regional integration is greater in countries with floating exchange rate regimes than in those with exchange controls. The world effect on European returns is stronger when the developed European region is in a recession. However, regional effects on the volatility of emerging European markets are greater during faster growth or weaker than expected economic growth .