The Interdependence of the Stock Markets Developed in Central and Eastern- European Stock Markets - Represented by the Stock Indices

Mitica Pepi ()
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Mitica Pepi: “Ovidius†University of Constanta

Ovidius University Annals, Economic Sciences Series, 2022, vol. XXII, issue 2, 995-1000

Abstract: In our research, we looked at how the interdependence of stock markets has changed over time. For this, we looked at three stock markets in Europe: one in Western Europe that is welldeveloped, one in Central Europe that is medium-sized, and one in Eastern Europe that is less well-developed. In the analysis, stock indices from these markets were used. For the western market, we examined the indices KAK40 for the French stock market, DAX for the German stock market, and FTSE100 for the British stock market. The PX index in the Czech Republic and the BUX index on the Hungarian stock exchange were examined for the average market in Central Europe, and the BET index in Romania and the LJSEX index in Slovenia were examined for the less developed market. The linear and nonlinear Granger tests conducted on the closing rates of the corresponding stock exchanges were correlated without the use of the conditionality clause. The first three stock markets (Germany, France, and Great Britain) were found to be more interdependent than the Romanian and Slovenian markets, which displayed a weaker connection. The Granger tests were used to come to the conclusion that there are various statistically calculated levels of stock market returns that result from the interdependencies between the three types of financial markets examined.

Keywords: stock markets; global crisis; stock market return; correlation; Granger causality (search for similar items in EconPapers)
JEL-codes: F21 F36 G11 G15 (search for similar items in EconPapers)
Date: 2022
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