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Causality between Regional Stock Markets: A Frequency Domain Approach

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  • Nikola Gradojević

    ()
    (IÉSEG School of Management (LEM-CNRS), Lille Catholic University, France; Faculty of Technical Sciences, University of Novi Sad, Serbia Rimini Centre for Economic Analysis, Italy)

  • Eldin Dobardžić

    ()
    (Department of Economics, State University of Novi Pazar; Faculty of Technical Sciences, University of Novi Sad, Serbia)

Abstract

Using a data set from five regional stock exchanges (Serbia, Croatia, Slovenia, Hungary and Germany), this paper presents a frequency domain analysis of a causal relationship between the returns on the CROBEX, SBI-TOP, CETOP and DAX indices, and the return on the major Serbian stock exchange index, BELEX 15. We find evidence of a somewhat dominant effect of the CROBEX and CETOP stock indices on the BELEX 15 stock index across a range of frequencies. The results also indicate that the BELEX 15 index and the SBITOP index interact in a bi-directional causal fashion. Finally, the DAX index movements consistently drive the BELEX 15 index returns for cycle lengths between 3 and 11 days without any feedback effect.

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Bibliographic Info

Article provided by Savez ekonomista Vojvodine, Novi Sad, Serbia in its journal Panoeconomicus.

Volume (Year): 60 (2013)
Issue (Month): 5 (September)
Pages: 633-647

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Handle: RePEc:voj:journl:v:60:y:2013:i:5:p:633-647

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Web page: http://www.panoeconomicus.rs/

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Keywords: Stock market indices; Causality; Frequency domain;

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