@article{(Open Science Index):https://publications.waset.org/pdf/1171, title = {Effects of the Stock Market Dynamic Linkages on the Central and Eastern European Capital Markets}, author = {Ioan Popa and Cristiana Tudor and Radu Lupu}, country = {}, institution = {}, abstract = {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.}, journal = {International Journal of Economics and Management Engineering}, volume = {4}, number = {6}, year = {2010}, pages = {759 - 764}, ee = {https://publications.waset.org/pdf/1171}, url = {https://publications.waset.org/vol/42}, bibsource = {https://publications.waset.org/}, issn = {eISSN: 1307-6892}, publisher = {World Academy of Science, Engineering and Technology}, index = {Open Science Index 42, 2010}, }