ECONOMETRIC ANALYSIS OF INTEGRATION OF SELECTED NEW EU MEMBER CEE STOCK MARKETS WITH GLOBAL STOCK MARKET AND EUROZONE: IMPACT OF GLOBAL FINANCIAL CRISIS

The period of global financial crisis can be characterized by the overflow of negative innovations among stock markets around the world. Central European stock markets have not been excluded because they are not isolated from global stock markets. Recently published scientific studies dealing with this topic have focused mainly on the integration of the stock markets of the new EU Member States only with the Eurozone. Therefore, this paper aims to investigate, compare and interpret the integration between the stock markets of the new selected EU Member States in Central Europe (Czech Republic, Hungary and Poland), the global stock market and the Eurozone capital market in period 2004-2018. The added value of this article consists, in particular, in the use of a wider range of econometric instruments (cointegration, VAR model, Granger causality, variance decomposition) and the comparison of changes in mutual relations in three different test subperiods to study the dynamics over time. Our research is done by using data on a daily basis. The results showed that the degree of integration of Central European stock markets with the US stock market and the Eurozone increased significantly during the global financial crisis. Moreover, stock markets in Central Europe are more integrated with the global stock market than the Eurozone