Interdependence between Eastern and Western European stock markets: evidence from intraday data

Abstract

We analyze comovements among three stock markets in Central and Eastern Europe and, in addition, interdependence which may exist between Western European (DAX, CAC, UKX) and Central and Eastern European (BUX, PX-50, WIG-20) stock markets.

Keywords

• comovements
• spillover effects
• market integration