Analysis of Linkages between Central and Eastern European apital Markets
Journal Title: Dynamic Econometric Models - Year 2012, Vol 12, Issue 1
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.
Authors and Affiliations
Dorota Witkowska, Krzysztof Kompa, Aleksandra Matuszewska-Janica
Keywords
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