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Impact of the global crisis on the linkages between CAC 40 and indexes from CEE countries

Listed author(s):
  • Nistor, Costel
  • Dumitriu, Ramona
  • Stefanescu, Razvan

This paper explores the relationship between CAC 40 Index and other three indexes from Central and East European countries: PX Index, BUX Index and BET-C Index before and during the global crisis. In our investigation we employ daily values of the four indexes from two periods of time: a pre-crisis period, from 3rd January 2005 to 15th September 2008 and a crisis period, from 16th September 2008 to 30th December 2011. We analyze the long-term relations by the Johansen cointegration procedure while for the short-term relations we use the Granger causality procedure. We find that global crisis strengthened the relations among the four indexes.

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File URL: https://mpra.ub.uni-muenchen.de/42511/1/MPRA_paper_42511.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 42511.

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Date of creation: 16 Apr 2012
Date of revision: 18 Sep 2012
Publication status: Published in Proceedings of the 2nd International Conference on Business Administration and Economics ”People. Ideas. Experience”, October 25-26, 2012, Reşiţa (2012): pp. 319-332
Handle: RePEc:pra:mprapa:42511
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