Testing causal relation among central and eastern European equity markets: evidence from asymmetric causality test

Emrah Çevik, Turhan Korkmaz and Emre Cevik

Economic Research-Ekonomska Istraživanja, 2017, vol. 30, issue 1, 381-393

Abstract: The aim of this study is to analyse the presence of a causal link among financial markets of Central and Eastern Europe (CEE) countries by adopting an asymmetric causality test. The standard causality test results suggest a causal relation running from the Czech Republic to Poland. Also, the Poland stock market is found to be a Granger cause of Turkey stock markets. Asymmetric causality test results indicate only a causal link going from the Czech Republic to Hungary and Poland. In addition, the presence of financial integration between Germany and CEE equity markets cannot be determined.

Date: 2017
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DOI: 10.1080/1331677X.2017.1305774

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