Time‐Varying World and Regional Integration in Emerging European Equity Markets
研究了新兴欧洲市场与世界及区域一体化的时变特征，发现经济增长和货币贬值可预测一体化程度，且浮动汇率制国家中增长对区域一体化的影响更大。
Abstract This study investigates time‐varying world and regional integration in emerging European markets. Categorising global and regional effects into return and volatility spillovers, we also examine the impact of time variation in these spillover effects based on the conditions of economic growth. Our results show that growth and currency depreciation can predict the degree of integration and spillover effects for these markets. The impact of growth on the level of regional integration is greater in countries with floating exchange rate regimes than in those with exchange controls. The world effect on European returns is stronger when the developed European region is in a recession. However, regional effects on the volatility of emerging European markets are greater during faster growth or weaker than expected economic growth .