<abstract xmlns="http://www.w3.org/1999/xhtml"><p>Recent rapid development of the Baltic stock markets raises the question about stock market integration level in these countries. Some empirical aspects of the Baltic stock market integration have been analysed in the scientific literature, however, a comprehensive analysis on the Baltic stock market integration level is still missing. The aim of the paper is to assess the regional integration level of the Baltic stock markets. The research object is stock markets in the Baltic countries. The following research and statistical methods have been applied in this study: the systemic and comparative analysis of the scientific literature, Spearman’s correlation coefficient, dynamic conditional correlation generalized autoregressive conditional heteroskedasticity model, Granger causality test, generalized impulse response analysis, Johansen cointegration test, autoregressive distributed lag model and error correction model. The main findings of this empirical study are (a) all three Baltic stock markets are closely related markets, (b) however, the Latvian stock market is more isolated at the regional level comparing to other two Baltic stock markets (c) whereas Estonian and Lithuanian stock markets are more interrelated.</p></abstract>

Recent rapid development of the Baltic stock markets raises the question about stock market integration level in these countries. Some empirical aspects of the Baltic stock market integration have been analysed in the scientific literature, however, a comprehensive analysis on the Baltic stock market integration level is still missing. The aim of the paper is to assess the regional integration level of the Baltic stock markets. The research object is stock markets in the Baltic countries. The following research and statistical methods have been applied in this study: the systemic and comparative analysis of the scientific literature, Spearman’s correlation coefficient, dynamic conditional correlation generalized autoregressive conditional heteroskedasticity model, Granger causality test, generalized impulse response analysis, Johansen cointegration test, autoregressive distributed lag model and error correction model. The main findings of this empirical study are (a) all three Baltic stock markets are closely related markets, (b) however, the Latvian stock market is more isolated at the regional level comparing to other two Baltic stock markets (c) whereas Estonian and Lithuanian stock markets are more interrelated.

Investigation of Stock Market Integration in the Baltic Countries

Economics and Business

This work is licensed under the Creative Commons Attribution 4.0 Public License.

{"article-title":"Investigation of Stock Market Integration in the Baltic Countries"}

Recent rapid development of the Baltic stock markets raises the question about stock market integration level in these countries. Some empirical aspects of the...

Investigation of Stock Market Integration in the Baltic Countries

Pubblicato online: 10 giu 2016

Pagine: 38 - 44

DOI: https://doi.org/10.1515/eb-2016-0006

Parole chiave
Baltic countries, integration, stock market

© 2016

This work is licensed under the Creative Commons Attribution 4.0 Public License.

Investigation of Stock Market Integration in the Baltic Countries

Pubblicato online: 10 giu 2016

Pagine: 38 - 44

DOI: https://doi.org/10.1515/eb-2016-0006

Parole chiaveBaltic countries, integration, stock market

© 2016

This work is licensed under the Creative Commons Attribution 4.0 Public License.

Parole chiave
Baltic countries, integration, stock market