Analysis of Linkages between Central and Eastern European Capital Markets

Dorota Witkowska, Krzysztof Kompa, Aleksandra Matuszewska-Janica

DOI: http://dx.doi.org/10.12775/DEM.2012.002

Abstract


The aim of the research is analysis of short- and long-term international relations between stock exchanges in Central and Eastern Europe. The analysis is provided in 3 stages. In the first step the order of the variables integration is examined. In the second stage short-run relationships for pairs of indexes are analyzed using Granger causality test. In the last step long-run relationships for pairs of indexes are examined applying Johansen cointegration method.


Keywords


Emerging Markets; Equity CEE Markets; cointegration; Granger Causality; long-run relationships; short-run relationships

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References


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