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

Costel Nistor, Ramona Dumitriu and Razvan Stefanescu

MPRA Paper from University Library of Munich, Germany

Abstract: 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.

Keywords: Stock Markets; Interdependences; Global Crisis; CEE Countries; Cointegration; Causality (search for similar items in EconPapers)
JEL-codes: F36 G01 G15 (search for similar items in EconPapers)
Date: 2012-04-16, Revised 2012-09-18
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Citations: View citations in EconPapers (1)

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

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