Causality between Regional Stock Markets: A Frequency Domain Approach

Nikola Gradojevic and Eldin Dobardžić ()

Panoeconomicus, 2013, vol. 60, issue 5, 633-647

Abstract: Using a data set from five regional stock exchanges (Serbia, Croatia, Slovenia, Hungary and Germany), this paper presents a frequency domain analysis of a causal relationship between the returns on the CROBEX, SBITOP, CETOP and DAX indices, and the return on the major Serbian stock exchange index, BELEX 15. We find evidence of a somewhat dominant effect of the CROBEX and CETOP stock indices on the BELEX 15 stock index across a range of frequencies. The results also indicate that the BELEX 15 index and the SBITOP index interact in a bi-directional causal fashion. Finally, the DAX index movements consistently drive the BELEX 15 index returns for cycle lengths between 3 and 11 days without any feedback effect. Key words: Stock market indices, Causality, Frequency domain.JEL: C58, G15.

Keywords: Stock market indices; Causality; Frequency domain (search for similar items in EconPapers)
Date: 2013
References: Add references at CitEc
Citations:

Downloads: (external link)
https://panoeconomicus.org/index.php/jorunal/article/view/88/82 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:voj:journl:v:60:y:2013:i:5:p:633-647:id:88

Access Statistics for this article

Panoeconomicus is currently edited by Kosta Josifidis

More articles in Panoeconomicus from Savez ekonomista Vojvodine, Novi Sad, Serbia
Bibliographic data for series maintained by Savez ekonomista Vojvodine, Novi Sad, Serbia ().