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WHAT DRIVES THE STOCK MARKET INTEGRATION IN THE CEE-3?

100%

Výrost T. , Baumöhl E. , Lyócsa Š.

Ekonomický časopis (Journal of Economics)

2013

tom 61

nr 1

67 – 81

In this article, we study the possible explanatory power of macroeconomic factors that may drive the stock market integration between the Czech Republic, Poland and Hungary (CEE-3) and developed countries, using Germany as a benchmark. Our findings suggest that the recent global financial crisis has affected time-varying correlations between certain stock markets more substantially than the entry of the CEE-3 into the EU. The results of our analysis of the effects of these macroeconomic factors were inconclusive. Only our proxy of exchange rate risk was significant in all cases, with positive effects on integration, thus supporting the presence of contagion among different markets.

THE REAL CONVERGENCE OF CEE COUNTRIES: A STUDY OF REAL GDP PER CAPITA

100%

Zárembová A. , Lyócsa Š. , Baumöhl E.

Ekonomický časopis (Journal of Economics)

2012

tom 60

nr 6

642 – 656

The paper examines the unconditional sigma and time-series convergence of a real GDP per capita (measured in national currencies and euros) for CEE8 countries during the 1995 : Q1 – 2011 : Q1 period by applying the unit root framework using the DF-GLS test and the Lee and Strazicich (2003; 2004) test, which allows for endogenous breaks in trends and constants. We selected Germany as a benchmark country for relative real GDP per capita because of its geographical and economical position relative to all CEE8 countries. We have found that both sigma convergence and time-series convergence were present for most of the CEE8 countries prior to the breaks in trends, but after the breaks, the convergence slowed or reversed and thus indicated divergence.