Analysis of Linkages between Central and Eastern European Capital Markets

Dorota Witkowska, Krzysztof Kompa, Aleksandra Matuszewska-Janica
2012 Dynamic Econometric Models  
A b s t r a c t. 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 longrun relationships for pairs of indexes are examined applying Johansen cointegration method. K e y w o r d
more » ... od. K e y w o r d s: Emerging Markets, Equity CEE Markets, cointegration, Granger Causality, longrun relationships, short-run relationships.
doi:10.12775/dem.2012.002 fatcat:wzeurxcxsbdy3elbk4pg6hed4q