TITLE:
Stock-Return Co-Movements and Institutional Quality: An Empirical Investigation of the European Emerging Markets
AUTHORS:
Nguyen Phuc Canh, Nguyen Vu Hong Thai, Christophe Schinckus
KEYWORDS:
Institutions, European Economic Integration, Stock Return, Co-Movements, Emerging Markets
JOURNAL NAME:
Theoretical Economics Letters,
Vol.8 No.5,
April
2,
2018
ABSTRACT: The study of stock market integration has been
renewed with strong attention from the 2008 global financial crisis. This study
examines the stock return comovements between each European Emerging markets
(EEM) with the largest financial markets
including US (S & P 500), UK (FTS100), German (DAX100), and France
(CAC40), respectively. The European Emerging markets include Bulgaria, Czech
Republic, Estonia, Hungary, Latvia, Lithuania, Poland, Romania, and Slovenia.
The correlation between co-movements between each European emerging market with
US, UK, Germany and France in line with economic integration and institutions
in the period of 2002-2015 are presented. Such analysis offers an opportunity
to investigate the economic and institutional integration of emerging countries
in a European context (with US market as an indicator of a non-European
environment).