IDEAS home Printed from https://ideas.repec.org/a/kap/iaecre/v17y2011i2p157-16810.1007-s11294-011-9300-9.html
   My bibliography  Save this article

Long-run Relationships between Selected Central European Indexes

Author

Listed:
  • Aleksandra Matuszewska-Janica

Abstract

In the paper we discuss the results of the long-run relationships (cointegration) between the Warsaw Stock Exchange and the other three stock exchanges situated in Central Europe: the Vienna Stock Exchange, the Prague Stock Exchange, and the Budapest Stock Exchange. Cointegration analysis is applied to check if the markets are integrated. Highly integrated markets are not isolated from international shocks. Copyright International Atlantic Economic Society 2011

Suggested Citation

  • Aleksandra Matuszewska-Janica, 2011. "Long-run Relationships between Selected Central European Indexes," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 17(2), pages 157-168, May.
    • Handle: RePEc:kap:iaecre:v:17:y:2011:i:2:p:157-168:10.1007/s11294-011-9300-9
    DOI: 10.1007/s11294-011-9300-9
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s11294-011-9300-9
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s11294-011-9300-9?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    2. Syriopoulos, Theodore, 2007. "Dynamic linkages between emerging European and developed stock markets: Has the EMU any impact?," International Review of Financial Analysis, Elsevier, vol. 16(1), pages 41-60.
    3. Crowder, William J. & Wohar, Mark E., 1998. "Cointegration, forecasting and international stock prices," Global Finance Journal, Elsevier, vol. 9(2), pages 181-204.
    4. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    5. Wojciech W. Charemza & Derek F. Deadman, 1997. "New Directions In Econometric Practice, Second Edition," Books, Edward Elgar Publishing, number 1139.
    6. Peter Kennedy, 2003. "A Guide to Econometrics, 5th Edition," MIT Press Books, The MIT Press, edition 5, volume 1, number 026261183x, April.
    7. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    8. Phylaktis, Kate & Ravazzolo, Fabiola, 2005. "Stock market linkages in emerging markets: implications for international portfolio diversification," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(2), pages 91-106, April.
    9. Engle, R. F. & Granger, C. W. J. (ed.), 1991. "Long-Run Economic Relationships: Readings in Cointegration," OUP Catalogue, Oxford University Press, number 9780198283393.
    10. Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
    11. Hassan, M. Kabir & Naka, Atsuyuki, 1996. "Short-run and long-run dynamic linkages among international stock markets," International Review of Economics & Finance, Elsevier, vol. 5(4), pages 387-405.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Dorota Witkowska & Krzysztof Kompa & Aleksandra Matuszewska-Janica, 2012. "Analysis of Linkages between Central and Eastern European Capital Markets," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 12, pages 19-34.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. repec:kap:iaecre:v:17:y:2011:i:2:p:157-168 is not listed on IDEAS
    2. Abdul Qayyum, 2000. "Demand for Real Money Balances by the Business Sector: An Econometric Investigation," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 39(4), pages 857-873.
    3. Alexander Schätz, 2010. "Macroeconomic Effects on Emerging Market Sector Indices," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 9(2), pages 131-169, August.
    4. Esther Stroe-Kunold & Joachim Werner, 2009. "A drunk and her dog: a spurious relation? Cointegration tests as instruments to detect spurious correlations between integrated time series," Quality & Quantity: International Journal of Methodology, Springer, vol. 43(6), pages 913-940, November.
    5. Nafeesa Yunus & Peggy Swanson, 2007. "Modelling Linkages between US and Asia‐Pacific Securitized Property Markets," Journal of Property Research, Taylor & Francis Journals, vol. 24(2), pages 95-122.
    6. Phengpis, Chanwit & Apilado, Vince P., 2004. "Economic interdependence and common stochastic trends: A comparative analysis between EMU and non-EMU stock markets," International Review of Financial Analysis, Elsevier, vol. 13(3), pages 245-263.
    7. Hassouneh, Islam & Couleau, Anabelle & Serra, Teresa & Al-Sharif, Iqbal, 2018. "The effect of conflict on Palestine, Israel, and Jordan stock markets," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 258-266.
    8. Committee, Nobel Prize, 2003. "Time-series Econometrics: Cointegration and Autoregressive Conditional Heteroskedasticity," Nobel Prize in Economics documents 2003-1, Nobel Prize Committee.
    9. Bank for International Settlements & Hong Kong Institute for Monetary Research, 2008. "Regional financial integration in Asia: present and future," BIS Papers, Bank for International Settlements, number 42.
    10. Bank for International Settlements, 2008. "Integration of India's stock market with global and major regional markets," BIS Papers chapters, in: Bank for International Settlements (ed.), Regional financial integration in Asia: present and future, volume 42, pages 202-236, Bank for International Settlements.
    11. Fethi, Meryem Duygun & Fethi, Sami & Katircioglu, Salih Turan, 2008. "Does Trade Policy Matter in an Isolated Economy? A Case Study," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 61(4), pages 637-664.
    12. Pelaez, Rolando F., 1995. "The Fisher effect: Reprise," Journal of Macroeconomics, Elsevier, vol. 17(2), pages 333-346.
    13. Nafeesa Yunus, 2009. "Increasing Convergence Between U.S. and International Securitized Property Markets: Evidence Based on Cointegration Tests," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(3), pages 383-411, September.
    14. Sekhar M. Amba & Binh H. Nguyen, 2019. "Exchange Rate And Equity Price Relationship: Empirical Evidence From Mexican And Canadian Markets," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 13(2), pages 33-43.
    15. Ramya Rajajagadeesan Aroul & Peggy E. Swanson, 2018. "Linkages Between the Foreign Exchange Markets of BRIC Countries—Brazil, Russia, India and China—and the USA," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(3), pages 333-353, December.
    16. Yap, Wei Yim & Lam, Jasmine S.L., 2006. "Competition dynamics between container ports in East Asia," Transportation Research Part A: Policy and Practice, Elsevier, vol. 40(1), pages 35-51, January.
    17. Erie Febrian & Aldrin Herwany, 2009. "Volatility Forecasting Models and Market Co-Integration: A Study on South-East Asian Markets," Working Papers in Economics and Development Studies (WoPEDS) 200911, Department of Economics, Padjadjaran University, revised Sep 2009.
    18. Kremers, Jeroen J M & Ericsson, Neil R & Dolado, Juan J, 1992. "The Power of Cointegration Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 325-348, August.
    19. Neil R. Ericsson & James G. MacKinnon, 2002. "Distributions of error correction tests for cointegration," Econometrics Journal, Royal Economic Society, vol. 5(2), pages 285-318, June.
    20. Levent KORAP, 2008. "Exchange Rate Determination Of Tl/Us$:A Co-Integration Approach," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, vol. 7(1), pages 24-50, May.
    21. Claude Diebolt & Cédric Doliger, 2005. "Becker vs. Easterlin. Education, Fertility and Growth in France after World War II," Working Papers 05-03, Association Française de Cliométrie (AFC).

    More about this item

    Keywords

    Central European Stock Exchanges; Long-run relationships; Cointegration; C10; G15;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:iaecre:v:17:y:2011:i:2:p:157-168:10.1007/s11294-011-9300-9. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.