A long-run relationship between Eastern European stock markets? Cointegration and the 1997/98 crisis in emerging markets |
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Authors: | Christian Jochum Gebhard Kirchgässner Mariusz Platek |
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Institution: | (1) Department of Business Administration, Athens University of Economics and Business, 76 Patission Street, GR-10434 Athens, Greece |
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Abstract: | 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. |
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Keywords: | G15 |
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