European Union Enlargement and Equity Markets in Accession Countries
IMF Working Papers, September 1, 2005
Source details
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- European Union Enlargement and Equity Markets in Accession Countries
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Bibliographic details
- Authors: Richard Podpiera, Tomás Dvorák
- Published: September 1, 2005
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781451862010.001
Core finding
- The announcement of the European Union enlargement coincided with a dramatic rise in stock prices in accession countries.
- Firm-level stock price changes are positively related to the difference between a firm's local and world market betas.
- The differences between local and world betas explain nearly 22 percent of the stock price increase.
- The result is robust to controlling for changes in expected earnings, country effects, and other controls, although the magnitude of the effect is not very large.
Research scope and approach
- Investigates the hypothesis that the rise in stock prices reflected a repricing of systematic risk due to integration of accession countries into the world market.
- Analysis performed at the firm level, relating stock price changes to the difference between local and world market betas.
Subjects and keywords
- Subjects: Asset prices, Financial institutions, Financial markets, Inflation, Market capitalization, Prices, Stock markets, Stocks
- Keywords: Asset prices, asset pricing, Eastern Europe, EU accession countries firm, EU enlargement, Global, Inflation, international financial integration, market beta, Market capitalization, market integration, market premium, price increase, Stock markets, Stocks, systematic risk, world market, WP
IMF Working Paper — European Union Enlargement and Equity Markets in Accession Countries (Richard Podpiera and Tomás Dvorák), Working Paper No. 2005/182, September 1, 2005.