Analysis of Linkages between Central and Eastern European Capital Markets

Dorota Witkowska (), Krzysztof Kompa and Aleksandra Matuszewska-Janica ()
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Dorota Witkowska: Warsaw University of Life Sciences
Krzysztof Kompa: Warsaw University of Life Sciences

Dynamic Econometric Models, 2012, vol. 12, 19-34

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.

Keywords: Emerging Markets; Equity CEE Markets; cointegration; Granger Causality; long-run relationships; short-run relationships (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:cpn:umkdem:v:12:y:2012:p:19-34

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