The current financial crises have determined many economists considering the source and cause of its development being the decorrelation between financial flows and real economy. In this paper, using ARIMA methodology we decompose the trend component of a stock index and apply Johansen cointegration test in order to find the measure of cointegration between capital markets' dynamics and economic growth. Our results show that most of the indices analyzed show no cointegration with economic

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... . The study highlights one of the most important factors leading to the current financial and economic crisis, namely the decoupling of the financial sector from the real economy sector.