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Analysis of Linkages between Central and Eastern European Capital Markets

  • Dorota Witkowska

    ()

    (Warsaw University of Life Sciences)

  • Krzysztof Kompa

    (Warsaw University of Life Sciences)

  • Aleksandra Matuszewska-Janica

    ()

    (Warsaw University of Life Sciences)

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.

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Article provided by Uniwersytet Mikolaja Kopernika in its journal Dynamic Econometric Models.

Volume (Year): 12 (2012)
Issue (Month): ()
Pages: 19-34

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Handle: RePEc:cpn:umkdem:v:12:y:2012:p:19-34
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