%0 Journal Article %A Ioan Popa and Cristiana Tudor and Radu Lupu %D 2010 %J International Journal of Economics and Management Engineering %B World Academy of Science, Engineering and Technology %I Open Science Index 42, 2010 %T Effects of the Stock Market Dynamic Linkages on the Central and Eastern European Capital Markets %U https://publications.waset.org/pdf/1171 %V 42 %X The interdependences among stock market indices were studied for a long while by academics in the entire world. The current financial crisis opened the door to a wide range of opinions concerning the understanding and measurement of the connections considered to provide the controversial phenomenon of market integration. Using data on the log-returns of 17 stock market indices that include most of the CEE markets, from 2005 until 2009, our paper studies the problem of these dependences using a new methodological tool that takes into account both the volatility clustering effect and the stochastic properties of these linkages through a Dynamic Conditional System of Simultaneous Equations. We find that the crisis is well captured by our model as it provides evidence for the high volatility – high dependence effect. %P 759 - 764