Affordable Access

Publisher Website

Non-synchronous trading and testing for market integration in Central European emerging markets

Authors
Journal
Journal of Empirical Finance
0927-5398
Publisher
Elsevier
Publication Date
Volume
13
Identifiers
DOI: 10.1016/j.jempfin.2006.04.002
Keywords
  • Market Integration
  • Market Efficiency
  • Non-Synchronous Trading
  • Emerging Markets
  • Kalman Filter

Abstract

Abstract The paper contributes to the literature on integration of stock markets by addressing the issue of non-synchronous trading. We argue that controlling for time differences in trading hours of stock markets is important and show that time-adjustment improves estimates of market integration. We also show that using weekly frequency does not sidestep the consequences of the time-match problem but leads to significant loss of information. We show that the nature of integration of stock exchanges operating in the Czech Republic, Hungary, and Poland with the stock markets of Germany, UK and US in the period 1994–2004 is very dynamic. Finally, the study shows that the autocorrelation of returns on the main market indices of these emerging markets have declined over time.

There are no comments yet on this publication. Be the first to share your thoughts.