Testing causal relation among central and eastern European equity markets: evidence from asymmetric causality test
Yükleniyor...
Dosyalar
Tarih
2017
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Routledge Journals, Taylor & Francis Ltd
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
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.
Açıklama
Anahtar Kelimeler
Stock markets, financial integration, causality, CEE equity markets, Unit-Root Hypothesis, Oil-Price Shock, Stock Markets, Great Crash
Kaynak
Economic Research-Ekonomska Istrazivanja
WoS Q Değeri
Q2
Scopus Q Değeri
Q2
Cilt
30
Sayı
1
