o:29651 Stock Markets Integration between Western Europe and Central and South-Eastern Europe Latest Trends en ABSTRACT: The aim of the paper is to examine the stock market integration between Western Europe and selected countries of Central (Austria, Czech Republic, Poland, Hungary, Slovakia, and Slovenia) and SouthEastern Europe (Greece, Croatia, Serbia, Bosnia, Bulgaria, and Romania). In order to achieve this goal, we used a bivariate BEKK model to obtain time-varying covariances and correlations for the period April 15, 2013 - March 29, 2019. Our results showed that Austria has the highest degree of integration among countries in Central Europe, followed by the Czech Republic, Poland and Hungary. Additionally, Greece has the highest degree of integration among all countries in South-Eastern Europe, followed by Romania, and Croatia. Thus, stock markets of Central Europe are more integrated with Western Europe than stock markets of South-Eastern Europe The authors acknowledge the financial support of the Ministry of Education, Science and Technological Development of the Republic of Serbia. This paper was presented at the International Scientific Conference Econometric modelling in economics and finance at the Institute of Economic Sciences in Belgrade in October 2019 Key words: Stock market integration, Multivariate GARCH, BEKK model, Central Europe, South-Eastern Europe 1552099 10.28934/ea.22.55.1.pp63-75 1552101 1821-2573 2023-05-19T12:19:04.401Z 44 no 46 Jelena Minović Institut ekonomskih nauka Irena Janković Univerzitet u Beogradu Ekonomski fakultet person 14632551 0000-0003-1115-4702 Vlado Kovačević Institut za ekonomiku poljoprivrede person application/pdf 821921 https://phaidrabg.bg.ac.rs/o:29651 no yes 18 70 92000001 11A03 Economic Analysis: Applied Research in Emerging Markets 55 1 63 75 2022