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Financial market dynamics in an enlarged European Union.

Kenourgios, D.; Samitas, A.; Paltalidis, N.


D. Kenourgios

A. Samitas


This paper provides evidence of integration in European equity and bond markets over the period January 2, 1997 to October 1, 2006. Our focus is to examine time-varying correlation dynamics in Euro-area, Central European (CE) and Balkan financial markets, modifying the asymmetric generalized dynamic conditional correlation (AG-DCC) model developed by Cappiello, Engle and Sheppard (Journal of Financial Econometrics, 2006). Using structural breaks, we identify the optimal time decay where financial markets share highest comovement. The results show an increase in the level of dependence during the period of the internet bubble collapse (2000), the Balkan countries start formally discussions to join European Union (2000), the introduction of Euro banknotes and coins (2002) and the entry of CE countries in EU (2004). The CE European and Balkan countries become gradually more integrated with the EMU countries, which is consistent with the interpretation that these countries may be expected to join the Euro in the future.


Kenourgios, D., Samitas, A., & Paltalidis, N. (2009). Financial market dynamics in an enlarged European Union. Journal of Economic Integration, 24(2), 197-221.

Journal Article Type Article
Publication Date 2009-06
Deposit Date Sep 23, 2015
Journal Journal of Economic Integration
Print ISSN 1225-651X
Electronic ISSN 1976-5525
Publisher Center for International Economics
Peer Reviewed Peer Reviewed
Volume 24
Issue 2
Pages 197-221
Keywords European financial markets, Time-varying financial dependence, Structural breaks, Dynamic conditional correlations.
Public URL