Statistical Properties of the CEE Stock Market Dynamics. A Panel Data Analysis

Harrison, Barry
Lupu, Radu
Lupu, Iulia
Publication date: 
JEL codes: 
C10 - General.
The importance of Central and Eastern European (CEE) stock markets grew after 1990 as they were gradually used as diversification instruments for the foreign investors as well as due to the general expectation of their integration within the European capital market. This development generated an increasing body of literature issued with the aim to analyze the properties of these markets both in terms of performance and integration on one hand and diversification and risk management on the other hand. The paper focuses on the stock market indices of ten emerging countries from the CEE region – Slovenia, Slovak Republic, Estonia, Latvia, Lithuania, Bulgaria, Czech Republic, Romania, Hungary and Poland –over the 1994-2006 period and aims at identifying the properties of their dynamics in a panel data analysis. We found evidence of stationarity for the returns of these indices and identified some common characteristics of these markets taken as a whole.
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