A long-run relationship between Eastern European stock markets?: Cointegration and the 1997/98 crisis in emerging markets

被引：20

作者：

Jochum, C

Kirchgässner, G

Platek, M

机构：

[1] UBS Brinson, CH-4002 Basel, Switzerland

[2] Univ St Gallen, Inst Aussenwirtschaft & Angew Wirtschaftsforsch, SIAW, CH-9000 St Gallen, Switzerland

[3] Bank Wegelin & Co, CH-9004 St Gallen, Switzerland

来源：

WELTWIRTSCHAFTLICHES ARCHIV-REVIEW OF WORLD ECONOMICS | 1999年 / 135卷 / 03期

关键词：

D O I：

10.1007/BF02707335

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：454 / 479

页数：26

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