Integration of the equity markets in the CEE countries - opportunity for international portfolio diversification
Thesis title: | Integration of the equity markets in the CEE countries - opportunity for international portfolio diversification |
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Author: | Krutišová, Alena |
Thesis type: | Diploma thesis |
Supervisor: | Klosová, Anna |
Opponents: | Jegers, Marc |
Thesis language: | English |
Abstract: | There are several advantages of capital markets integration, such as increasing overall market liquidity, improving the scope for diversification and risk sharing. Therefore, the European institutions try to boost capital markets integration among the member states. The aim of this empirical paper is to analyse the level of integration of the main equity markets in the Central and Eastern Europe (CEE): the Czech Republic, Poland, Hungary, Slovakia, Romania and Bulgaria from 2001 until 2010 using an integration score analysis. This methodology was proposed by Akdogan (1996; 1997) and later extended by Barari (2004) and by Birg & Lucey (2006). The paper focuses on the developments of regional and global integration of these countries. Findings from this research can be of interest to investors as well as policy makers because the degree of capital markets integration has important implications for cross-border capital flows, financial management, and for the conduct of monetary policy. The results from this paper suggest that the opportunities for portfolio diversification are diminishing in the CEE countries. The diversification benefits were mainly reduced by the accession to the EU, but they did not completely disappear. The findings showed that the global financial crisis in 2008 brought about a rapid change in integration. Global integration increased during the crises, whereas the regional started to decline after years of rising. |
Keywords: | Central and Eastern Europe; capital markets integration; integration score analysis |
Thesis title: | Integrace kapitálových trhů ve střední a východní Evropě |
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Author: | Krutišová, Alena |
Thesis type: | Diplomová práce |
Supervisor: | Klosová, Anna |
Opponents: | Jegers, Marc |
Thesis language: | English |
Abstract: | Cílem této diplomové práce je analyzovat integraci kapitálových trhů ve střední a východní Evropě. Zahrnuty jsou tyto země: Česká republika, Slovenská republika, Polsko, Maďarsko, Rumunsko a Bulharsko; v období 2001 až 2010. Zvolenou metodou je "intergration score analysis", která byla vyvinuta Akdoganem (1996; 1997) a později zdokonalena Bararim (2004). Tato práce hodnotí výhody a nevýhody finanční integrace a rozebírá imlikace globánlní integrace pro finanční řízení a monetární politiku. Tato práce také zkoumá to, jaké změny v integraci těchto trhů přinesla finanční krize z roku 2008. Výsledky poukazují na to, že výhody pro zahraniční investory, plynoucí z diverzifikace v zemích střední a východní Evropy, byly v posledních letech redukovány na minimum. |
Keywords: | diverzifikace portfolia; střední a východní Evropa; integraci kapitálových trhů |
Information about study
Study programme: | Economics of International Trade and European Integration |
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Type of study programme: | Magisterský studijní program |
Assigned degree: | Ing. |
Institutions assigning academic degree: | Vysoká škola ekonomická v Praze |
Faculty: | Faculty of International Relations |
Department: | Department of International Business |
Information on submission and defense
Date of assignment: | 1. 3. 2011 |
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Date of submission: | 31. 10. 2011 |
Date of defense: | 9. 1. 2012 |
Identifier in the InSIS system: | https://insis.vse.cz/zp/35592/podrobnosti |