Interdependence of Nordic and Baltic Stock Markets

Abstract

The interdependence of the Nordic and Baltic stock markets is explored in light of increased merger activity of stock exchanges over the sample period, 1996-2006. The results show surprisingly little interdependence between the Nordic and Baltic stock indices. In the short run, the response of each market to a shock in another is insignificant. In the longer term there is limited evidence of integration and only weak indication of convergence within the sample period. The stock markets seem no more integrated than they were at the outset of recent merger activity, suggesting that the levels of cooperation between the Nordic and Baltic exchanges have not been deep enough to produce increased interdependence.