The relations between emerging european and developed stock markets before and after the russian crisis of 1997–1998

After the collapse of communist and socialist regimes at the beginning of 1990s, a number of Central and Eastern European (CEE) economies started their journey into capitalism by establishing private property and capital markets. As a result, a number of stock markets have since been established in the region. Since then, they have displayed considerable growth in size and degree of sophistication, and they have attracted the interest of academics for a number of reasons. First , these markets provide a possibility to re-examine existing asset-pricing models and pricing anomalies in the conditions of the evolving markets. Market efficiency of the CEE markets is tested in Ratkovicova (1999) and Gilmore and McManus (2001) ; a version of the CAPM is tested in Charemza and Majerowska (2000) ; Mateus (2004) explores the predictability of European emerging market returns within an unconditional asset-pricing framework while the January-pricing anomaly is studied in Henke (2003) . Second , in the light of growing interdependencies between world equity markets due to enhanced capital movements, numerous studies have investigated the extent to which emerging European stock markets are integrated with global markets, and the extent to which they are subjects to global shocks ( Gelos & Sahay, 2000 ; Gilmore & McManus, 2002 ; Scheicher, 2001 ). Among the CEE markets, those of the Vysegrad countries (Poland, Hungary and the Czech Republic) have attracted most of the attention of the academics due to their economies faster growth relative to their regional counterparts (Slovakia, Slovenia, Bulgaria, Croatia and Baltic countries), in addition to political stability and their (successfully realized) prospects of joining the European Union (EU).