Contagion across and integration of Central and Eastern European stock markets: evidence from intraday data

Abstract

We analyze interrelations between three stock markets in Central and Eastern Europe and, in addition, interconnections which may exist between Western European (DAX, CAC, UKX) and Central and Eastern European stock markets (BUX, PX-50, WIG20). The novelty of our paper rests mainly on the use of the five-minute tick intraday price data from the mid-2003 to the early 2005 for stock indices and on the wide range of econometric techniques employed

Keywords

• contagion and spillover effects
• market integratio
• European emerging markets