Analysis of Linkages between Central and Eastern European Capital Markets
AbstractThe 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.
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Bibliographic InfoArticle provided by Uniwersytet Mikolaja Kopernika in its journal Dynamic Econometric Models.
Volume (Year): 12 (2012)
Issue (Month): ()
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Emerging Markets; Equity CEE Markets; cointegration; Granger Causality; long-run relationships; short-run relationships;
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