References
- Baele, L. (2005). Volatility Spillover Effects in European Equity Markets. The Journal of Financial and Quantitative Analysis, Vol. 40, No. 2, pp.373-401
- Babaei, Hamid, Georges Hübner, Aline Muller (2023). The effects of uncertainty on the dynamics of stock market interdependence: Evidence from the time-varying cointegration of the G7 stock markets. Journal of International Money and Finance, Vol. 139, https://doi.org/10.1016/j.jimonfin.2023.102961.
- Batondo, M., & Uwilingiye, J. (2022). Comovement across BRICS and the US Stock Markets: A Multiitem Scale Wavelet Analysis. International Journal of Financial Studies, 10(2), 27. https://doi.org/10.3390/ijfs10020027
- Bekaert, G., Hodrick, R.J. & Zhang, X. (2009). International Stock Return Comovements, The Journal of Finance. 64: 2591-2626, https://doi.org/10.1111/j.1540-6261.2009.01512.x
- Berument, H. & Ince, O. (2005). Effect of S&P500’S return on emerging markets: Turkish Experience. Applied Financial Economics Letters, Vol. 1, pp.59–64, http://dx.doi.org/10.1080/1744654052000314662
- Caporale, G.M. & Spagnolo, N. (2011). Stock Market Integration between Three CEECs, Russia, and the UK. Review of International Economics, 19: 158-169, https://doi.org/10.1111/j.1467-9396.2010.00938.x
- Connolly, R.A. & Wang, F.A. (2003). International equity market comovements: Economic fundamentals or contagion?. Pacific-Basin Finance Journal, Vol. 11, No.1, pp. 23–43.
- Černy, A. & Koblas, M. (2008). Stock market integration and the speed of information transmission. Czech Journal of Economics and Finance, Vol. 58, pp. 2–20.
- Dajčman, S. & Festić, M. (2012). Interdependence between the Slovenian and European Stock Markets – a DCC-GARCH Analysis. Economic Research - Ekonomska istraživanja, Vol. 25, No. 2, pp.379-396. http://dx.doi.org/10.1080/1331677X.2012.11517513
- Đukić, Đ. & Đukić M. (2015). Interdependencies of Markets in Southeastern Europe and Buyback of Shares on Shallow Capital Markets: The Application of Cointegration and Causality Tests. Panoeconomicus, Volume 62, No. 4, pp. 469-491. http://dx.doi.org/10.2298/PAN1504469D
- Égert, B. & Kočenda, E. (2007). Time-Varying Comovements in Developed and Emerging European Stock Markets: Evidence from Intraday Data. William Davidson Institute University of Michigan Working Paper 861-07.
- Ferreira, P. (2018). What guides Central and Eastern European stock markets? A view from detrended methodologies. Post-Communist Economies, 30(6). 805–819, https://doi.org/10.1080/14631377.2018.1460155
- Forbes, K.J. & Rigobon, R. (2002). No Contagion, Only Interdependence: Measuring Stock Market Comovements. Journal of Finance, Vol. 57, pp. 2223-2261. http://dx.doi.org/10.1111/0022-1082.00494
- Fratzscher, M. (2002). Financial market integration in Europe: on the effects of EMU on stock markets. International Journal of Finance and Econonomics, 7: 165-193, https://doi.org/10.1002/ijfe.187
- Fu, R. & Pagani, M. (2012). On the cointegration of international stock indices. Journal of Economics and Finance 36, 463–480 (2012), https://doi.org/10.1007/s12197-010-9136-9
- Gilmore, C. G. & McManus G. M. (2002). International portfolio diversification: US and Central European equity markets. Emerging Markets Review, Volume 3, Issue 1, 2002, Pages 69-83
- Gilmore, C., Lucey B. & McManus, G. (2008). The Dynamics of Central European Equity Market Integration. Quarterly Review of Economics and Finance, Vol. 48, No. 3, 605-622. http://dx.doi.org/10.2139/ssrn.686113
- Gradojević, N. & Dobardžić, E. (2013). Causality between Regional Stock Markets: A Frequency Domain Approach. Panoeconomicus, Vol. 60, No.5, pp. 633-647.
- Gungor, A.C., & Taştan, H. (2021). On macroeconomic determinants of co-movements among international stock markets: evidence from DCC-MIDAS approach. Quantitative Finance and Economics. DOI:10.3934/QFE.2021002
- Hachicha F. (2024), Sentiment investor, exchange rates, geopolitical risk and developing stock market: evidence of co-movements in the time-frequency domain during Russia-Ukraine war. Review of Behavioral Finance, Vol. 16, No. 3, pp. 486–509, doi: https://doi.org/10.1108/RBF-04-2023-0119
- Halaç, U., Taşkin, F.D. & Çağlı, E.Ç. (2013). The Turkish Stock Market Integration with Oil Prices: Cointegration Analysis with Unknown Regime Shifts. Panoeconomicus, Vol. 60, No. 4, pp. 499-513, doi: 10.2298/PAN1304499H
- Hamao, Y., Masulis, R.W. & Ng, V. (1990). Correlations in Price Changes and Volatility across International Stock Markets. The Review of Financial Studies, Vol. 3, No. 2, pp. 281-307
- Horvath, R. & Petrovski, D. (2012). International Stock Market Integration: Central and South Eastern Europe Compared. Economic Systems, Vol. 37, No. 1, pp. 81-91.
- Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, Vol. 12, pp. 231-254.
- Johansen, S. & Juselius, K. (1990). Maximum Likelihood Estimation and Inference on Cointegration— With Applications to the Demand for Money. Oxford Bulletin of Economics and Statistics, 52, 169-210.
- Kasa, K. (1992). Common Stochastic Trends in International Stock Markets. Journal of Monetary Economics, 29, 95-124, https://doi.org/10.1016/0304-3932(92)90025-W
- Kenourgios, D. & Samitas, A. (2011). Equity market integration in emerging Balkan markets. Research in International Business and Finance, Vol. 25, No. 3, pp. 296-307. http://dx.doi.org/10.1016/j.ribaf.2011.02.004
- King, M. & Wadhwani, S. (1990). Transmission of Volatility between Stock Markets. Review of Financial Studies, Vol. 3, No. 1, pp. 5-33.
- Longin, F. & Solnik B. (2001). Extreme Correlation of International Equity Markets. The Journal of Finance, Vol. 56, No. 2, pp. 649-676
- Luis A. Gil-Alana, Juan Infante, Miguel Angel Martín-Valmayor (2023). Persistence and long run co-movements across stock market prices, The Quarterly Review of Economics and Finance, Volume 89, https://doi.org/10.1016/j.qref.2022.10.001.
- Masih, A.M. & Masih, R. (1997). A comparative analysis of the propagation of stock market fluctuations in alternative models of dynamic causal linkages. Applied Financial Economics, 7, 59-74, doi:10.1080/096031097333853
- Muneer S, Waris M, Kanwal S, Tripathi A (2026), Dynamic co-movements of stock markets and implications for portfolio managers: evidence from wavelet approach. International Journal of Emerging Markets, Vol. 21 No. 2 pp. 488–512, https://doi.org/10.1108/IJOEM-04-2024-0737
- Narayan, P.K., & Smyth, R. (2005). Cointegration of stock markets between New Zealand, Australia and the G7 economies: searching for co-movement under structural change, Australian Economic Papers, 44: 231-247, https://doi.org/10.1111/j.1467-8454.2005.00262.x
- Ng, A. (2000). Volatility Spillover Effects from Japan and the US to the Pacific-Basin. Journal of International Money and Finance, Vol. 19, pp. 207-233.
- Naumoski, A., Arsov, S., Gaber, S. & Gaber-Naumoska, V. (2017). Diminishing inter-linkages of the South East European stock markets, Economic Computation and Economic Cybernetics Studies and Research, 51(3). 91-108.
- Okičić, J. (2014). An Empirical Analysis of Stock Returns and Volatility: the Case of Stock Markets from Central and Eastern Europe. South East European Journal of Economics and Business, Vol. 9, No. 1, pp. 7-15.
- Samitas, A., Kenourgios, D. & Paltalidis N. (2006). Short and long run parametric dynamics in the Balkans stock markets. International Journal of Business, Management and Economics, Vol. 2, No. 8, pp. 5-20
- Shi, Yujie (2022). What influences stock market co-movements between China and its Asia-Pacific trading partners after the Global Financial Crisis?. Pacific-Basin Finance Journal, Vol. 72, https://doi.org/10.1016/j.pacfin.2022.101722.
- Su, Chi-Wei, Syed Kumail Abbas Rizvi, Bushra Naqvi, Nawazish Mirza, Muhammad Umar (2022). COVID19: A blessing in disguise for European stock markets?, Finance Research Letters, Vol. 49, https://doi.org/10.1016/j.frl.2022.103135
- Syllignakis, M. & Kouretas G. (2010). German, US and Central and Eastern European Stock Market Integration. Open Economies Review, Vol. 21, No. 4, pp. 607-628
- Syriopoulos, T. (2007). Dynamic Linkages between Emerging European and Developed Stock? Has the EMU Any Impact?. International Review of Financial Analysis, 16, 41-60.
- Syriopoulos, T. & Roumpis E. (2009). Dynamic Correlations and Volatility Effects in the Balkans Equity Markets. International Financial Markets, Institutions and Money, Vol. 19, No. 4, pp. 565-585.
- Tilfani, O., Ferreira, P. & El Boukfaoui, M. Y. (2019). Revisiting stock market integration in Central and Eastern European stock markets with a dynamic analysis. Post-Communist Economies, 32(5). 643–674. https://doi.org/10.1080/14631377.2019.1678099
- Vatsa P, Basnet H, Mixon F (2022), “Stock market co-movement in Latin America and the US: evidence from a new approach”. Journal of Financial Economic Policy, Vol. 14 No. 2 pp. 162–171, doi: https://doi.org/10.1108/JFEP-02-2021-0047
- Wang, K-M. & Lai, H.-C. (2013). Which Global Stock Indices Trigger Stronger Contagion Risk in the Vietnamese Stock Market? Evidence Using a Bivariate Analysis. Panoeconomicus, Vol. 60, No. 4, pp: 473-497, doi: 10.2298/PAN1304473W.
- Wongswan, J. (2006). Transmission of Information across International Equity Markets. The Review of Financial Studies, Vol. 19, No.4, pp.1157-1189.
- Xing, Shuo, Tingting Cheng, Liping Qiu, Xiaoyang Li (2025). The evolution of herding behavior in stock markets: Evidence from a smooth time-varying analysis, Pacific-Basin Finance Journal, Volume 90, https://doi.org/10.1016/j.pacfin.2025.102664.
- Ye, G.L. (2014). The Interactions between China and US Stock Markets: New Perspectives. Journal of International Financial Markets, Institutions and Money. Vol.31, pp. 331-342.
- Zehri, Chokri (2021). Stock market comovements: Evidence from the COVID-19 pandemic, The Journal of Economic Asymmetries, Volume 24, https://doi.org/10.1016/j.jeca.2021.e00228.
Language: English
Page range: 199 - 233
Published on: Jun 6, 2026
Published by: University of Zagreb, Faculty of Economics & Business
In partnership with: Paradigm Publishing Services
Keywords:
Related subjects:
© 2026 Sasho Arsov, published by University of Zagreb, Faculty of Economics & Business
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.