International portfolio diversification to Central European stock markets
Titel:
International portfolio diversification to Central European stock markets
Auteur:
Syriopoulos, Theodore
Verschenen in:
Applied financial economics
Paginering:
Jaargang 14 (2004) nr. 17 pagina's 1253-1268
Jaar:
2004-11-15
Inhoud:
The presence of short- and long-run linkages among major emerging Central European stock markets, namely Poland, Czech Republic, Hungary, and Slovakia, as well as developed markets, particularly Germany and the USA, is investigated. An error correction vector autoregressive model is estimated to detect cointegration relationships and the empirical findings support the presence of one cointegration vector, indicating a stationary long-run relationship. Both domestic and external forces affect stock market behaviour, leading to long-run equilibrium but the individual Central European markets tend to display stronger linkages with their mature counterparts rather than their neighbours. Long-run co-movements imply that diversifying risk and attaining superior portfolio returns by investing in different Central European markets may be limited for international investors.