The EURPLN, DAX and WIG20: the Granger causality tests before and during the crisis

Ewa Syczewska ()

Dynamic Econometric Models, 2014, vol. 14, 93-104

Abstract: In this paper the possible interdependence between bilateral exchange rate behavior and the corresponding stock indices is checked, with application to the EURPLN rate and the DAX and WIG20 stock indices. Methods and results are similar to previous study of USDPLN exchange rate, and SP500 and WIG20 indices. The linear (including instantaneous) causality test and the Diks-Panchenko test are applied to logarithmic returns and to the daily measure of volatility r_t=ln⠡(P_(max,t)/P_(min,t) ). Differences between before- and during-crisis period results are less vivid than in case of the U.S. and the Polish instruments. But there is a substantial difference between linear (and Diks-Panchenko) test results and the instantaneous Granger-causality test results, on the other hand – between returns and daily volatility.

Keywords: Exchange rates; stock indices; financial crisis; risk; Granger causality; instantaneous causality; Diks-Panchenko test (search for similar items in EconPapers)
JEL-codes: C4 G19 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:cpn:umkdem:v:14:y:2014:p:93-104

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