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dc.contributor.authorMajewska, Elżbietaen
dc.contributor.authorOlbryś, Joannaen
dc.description.abstractThe goal of this paper is to recognize the dynamics of financial integration across the European stock markets over the last two decades. We investigate two groups of markets: (1) three developed European markets in the U.K., France, and Germany; and (2) three emerging Central and Eastern European markets in Poland, the Czech Republic, and Hungary (CEE-3). The evolution of the integration process is analyzed using a dynamic principal component approach. The index of integration serves as a robust measure of integration. The empirical results reveal that the dynamics of integration across the whole group of markets increased significantly following the CEEC-3’s accession to the European Union. An inverted U‑shape in the index of integration has been found in this case. Moreover, the average index of integration was significantly different during the Global Financial Crisis compared to the pre‑crisis period.en
dc.publisherWydawnictwo Uniwersytetu Łódzkiegoen
dc.relation.ispartofseriesComparative Economic Research;20en
dc.rightsThis work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.en
dc.subjecteuropean stock marketsen
dc.subjectdynamic principal component analysisen
dc.subjectindex of integrationen
dc.subjectGlobal Financial Crisisen
dc.titleThe Evolution of Financial Integration on Selected European Stock Markets: a Dynamic Principal Component Approachen
dc.contributor.authorAffiliationMajewska, Elżbieta - Ph.D., Assistant Professor, University of Bialystok, Faculty of Mathematics and Informatics, Institute of Mathematics, Bialystok, Polanden
dc.contributor.authorAffiliationOlbryś, Joanna - Ph.D., Associate Professor, Bialystok University of Technology, Faculty of Computer Science, Department of Theoretical Computer Science, Bialystok, Polanden
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dc.contributor.authorEmailMajewska, Elżbieta -
dc.contributor.authorEmailOlbryś, Joanna -

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