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Analysis of Linkages between Central and Eastern European Capital Markets

Author

Listed:
  • Dorota Witkowska

    (Warsaw University of Life Sciences)

  • Krzysztof Kompa

    (Warsaw University of Life Sciences)

  • Aleksandra Matuszewska-Janica

    (Warsaw University of Life Sciences)

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.

Suggested Citation

  • Dorota Witkowska & Krzysztof Kompa & Aleksandra Matuszewska-Janica, 2012. "Analysis of Linkages between Central and Eastern European Capital Markets," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 12, pages 19-34.
    • Handle: RePEc:cpn:umkdem:v:12:y:2012:p:19-34
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    References listed on IDEAS

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