49-59

• Karagoz, Kadir
• Ergun, Suzan

Most of the empirical studies on financial market integration in Europe have focused on either overall European markets or transition economies. Some studies tackled with the subject from the Central and Eastern European Countries (CEECs) point of view, so studies specifically on Balkan markets are quite scarce. In this paper we aim to investigate financial integration among four emerging (plus Greek) stock markets in the Balkans by using multivariate co-integration technique. In the paper it is also examined that integration between these developing markets and developed markets represented by the US, UK and Japan. To this end we first conducted unit root test and found that all five Balkan markets are nonstationary in their levels, but become stationary when differenced one time. In the next step the co-integration relationship is examined. Results of the co-integration reveal that there is at least one co-integration equation between Balkan stock markets indices which verifies the stock market integration in the region.

• Economics and Business

• Finance

stock market integration, Balk an countries, co-integration

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