Weltwirtschaftliches Archiv

, Volume 135, Issue 3, pp 454–479 | Cite as

A long-run relationship between Eastern European stock markets? Cointegration and the 1997/98 crisis in emerging markets

  • Christian Jochum
  • Gebhard Kirchgässner
  • Mariusz Platek


A Long-Run Relationship between Eastern European Stock Markets? Cointegration and the 1997/98 Crisis in Emerging Markets. — This paper describes the behavior of the Eastern European stock price indices for the period between 1995 and 1998. Particular emphasis has been directed toward the effects of the 1997/98 emerging market crisis. Using the Johansen methodology, a long-run relationship connecting these markets can be found for the pre-crisis period. The common stochastic trend vanished following the third quarter of 1997, and a massive change in the short-run behavior of the markets is shown. Developments on the Russian exchange are found to have a dominating influence during that period.



Gibt es eine langfristige Beziehung zwischen den osteuropÄischen AktienmÄrkten? Kointegration und die 1997/98 Krise der Emerging Markets. — Dieser Artikel beschreibt das Verhalten der osteuropÄischen AktienmÄrkte zwischen 1995 und 1998. Dabei wurden insbesondere die Auswirkungen der Asienkrise 1997/98 hervorgehoben. Unter Verwendung des Johansen Ansatzes kann für die Zeit vor dem Eintritt der Krise eine langfristige Gleichgewichtsbeziehung identifiziert werden. Der gemeinsame stochastische Trend verschwindet jedoch im 3. Quartal 1997, wÄhrend sich gleichzeitig das kurzfristige Marktverhalten stark verÄndert. In den Jahren 1997 und 1998 hat der russische Aktienmarkt die anderen osteuropÄischen MÄrkte entscheidend beeinflu\t.


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© Institut fur Weltwirtschaft an der Universitat Kiel 1999

Authors and Affiliations

  • Christian Jochum
  • Gebhard Kirchgässner
  • Mariusz Platek

There are no affiliations available

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