Work detail

Baltic Stock Market Integration

Author: Šarūnas Stulga
Year: 2019 - summer
Leaders: prof. Ing. Evžen Kočenda M.A., Ph.D., DSc.
Work type: Masters
Language: English
Pages: 106
Awards and prizes:
Abstract: In this thesis, we present an empirical analysis of integration between the Baltic and
global stock markets during the period between 2000 and 2018. This research is
spurred by the fact that all three Baltic countries displaying similar positive economic
developments over the studied horizon. Using the theoretical and empirical findings
from similar research papers, we ground our work for the analysis. Our methodology
is based on three different models: DCC-GARCH, total and frequency connectedness,
and the Engle-Granger cointegration test. Using these methods, we are able to
determine both short- or long-term relationship dynamics. Based on the results from
our empirical analysis we were not able to reject the null hypotheses, that the Baltic
states have become more integrated between themselves and the global market. At
best, our results would suggest a weak form of integration given that there were indeed
some notable dynamic changes. Following these results, we provide insight on
interdependencies between the Baltic states and their relationships with the global
stock markets. Most notable dynamics are captured by the total connectedness
measure, which indicates that the Baltic stock markets show a significantly increased
connectedness with the global indices, during turbulent times in the financial markets.




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