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Non-Linear Stock Market Co-Movement in Central and East European Countries

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Book cover Money, Banking and Financial Markets in Central and Eastern Europe

Abstract

As a result of financial globalisation, interest has grown in the extent of stock market integration between different countries. Stock markets can be considered integrated if their prices have a tendency to move together, or if one market leads another. The results of such investigations have important implications for portfolio diversification along international lines. In particular, significant co-movement of international stock markets increases the exposure of domestic investors to foreign shocks and therefore offers very limited scope for gains from international diversification. Also, an understanding of the determinants of stock market co-movement might aid understanding of the home country bias that investors exhibit (Lewis 1999), that is, the preference of investors for domestic investments over foreign investments.

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Authors
  1. Barry Harrison
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  2. Winston Moore
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Editor information

Editors and Affiliations

  1. Centre for EMEA Banking, Finance and Economics, London Metropolitan University, UK

    Roman Matousek (Director) (Director)

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© 2010 Barry Harrison and Winston Moore

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Harrison, B., Moore, W. (2010). Non-Linear Stock Market Co-Movement in Central and East European Countries. In: Matousek, R. (eds) Money, Banking and Financial Markets in Central and Eastern Europe. Palgrave Macmillan Studies in Banking and Financial Institutions. Palgrave Macmillan, London. https://doi.org/10.1057/9780230302211_6

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