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Cointegration between stock market indices: the case of the slovak and czech stock price indices

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  • Dawit Alemu Bemerew

Abstract

This paper provides an empirical investigation of long-term relationship between the stock market indices of the Czech and Slovak Republic. The empirical work applies log of weekly average data on the Czech PX - 50 and the Slovak SAX from September 1995 to December 1997. Empirical investigation is conducted by means of unit root tests and the EngleGranger methodology of cointegration test. The result from the unit root tests shows that individual stock indices are nonstationary - I(1). The result from the cointegration test shows that there is no long-term relationship between the two indices, even though, the strong economic ties and policy coordination between the two republics seem to be in favor of some cointegration.

Suggested Citation

  • Dawit Alemu Bemerew, 1999. "Cointegration between stock market indices: the case of the slovak and czech stock price indices," Prague Economic Papers, Prague University of Economics and Business, vol. 1999(1).
    • Handle: RePEc:prg:jnlpep:v:1999:y:1999:i:1:id:39
    DOI: 10.18267/j.pep.39
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    Cited by:

    1. Michal Dvořák, 2016. "Measuring Yields: Arithmetic, Geometric and Horizon-Consistent Average," Prague Economic Papers, Prague University of Economics and Business, vol. 2016(3), pages 335-353.

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