Analiza porównawcza stopnia integracji węgierskiego i słowackiego giełdowego rynku akcji z giełdowym rynkiem akcji w obszarze euro
The aim of this paper is to outline results of investigations into the degree of the Hungarian
and Slovak equity market integration with the euro area stock market.
In our investigations we used monthly data from the 1999:01–2011:12 period concerning the
yield performance of the following indices: BUX, SAX, DJ EUROSTOXX, DOW JONES COMPOSITE AVERAGE. The model of the “growing impact of the common information
component on stock market growth rates” estimated by means of GARCH(1,1) was used as a
measure of the equity market integration.
In the period from 1999 to 2004, the Hungarian equity market was more integrated with the
euro area equity market than with the global equity market. But in the period 2005–2011 degree of
Hungarian equity market integration with the global equity market was much higher then degree of
integration with the euro area equity market. On the other hand, the Slovak equity market was
more integrated with the global market in the 1999–2004 period whereas in the years 2005–2011
its higher integration degree with the euro area stock market was noted accompanied by a low
integration degree with the global market.