An investigation into the stock market convergence of Czech Republic, Hungary, Slovakia and Romania reveals that capital market correlation level has strongly increased after the EU accession. The present study evaluates stock market co-movements in Czech Republic, Hungary, Slovakia and Romania on the basis of multivariate generalized autoregressive conditional heteroscedasticity models. The diagonal BEKK model is also employed in analyzing the convergence of the selected countries’ stock markets with those existing in the developed countries; the analysis encompassed the 2002-2012 timeframe. The empirical results indicate that the correlation of the four CEE stock markets are strongly influenced by two factors: their accession to the EU and the 2007-2008 financial crisis.