IDEAS home Printed from https://ideas.repec.org/a/rse/wpaper/v26y2023i2p05-16.html
   My bibliography  Save this article

Impact of Lockdown Measures on Central-East European Stock Markets: A Cointegration and Granger Causality Analysis of Indices

Author

Listed:
  • Helmuth Yesid Arias Gomez

    (Czech Technical University in Prague (ČVUT) - Masaryk Institute of Advanced Studies (MIAS) – Institute of Economic Studies)

  • Gabriela AntoÅ¡ova

    (Wysza Szkola Humanitas, Sosnowiec)

Abstract

The outright effect of the Covid-19 pandemic on European stock markets took place during the application of lockdown and curfew measures throughout 2020. Our analysis spans the period elapsed from the initial outbreak until the arrival of the Omicron variant. We run a set of cointegration techniques incorporating the stock indices of Prague, Warsaw and Bratislava during the subsequent stages of the pandemics. We run the augmented Dickey Fuller test for bearing out cointegration relationships between pair of sequences. On the other hand, the Granger causality disclosed the capacity of the indexes for forecasting accurately each other. Later, the Error Correction Model demonstrated that not all the indexes adjust to the equilibrium value immediately. Finally, the Johansen Methodology tested the rank of matrix criteria for effectively validate the existence of a cointegrating vector in the system

Suggested Citation

  • Helmuth Yesid Arias Gomez & Gabriela AntoÅ¡ova, 2023. "Impact of Lockdown Measures on Central-East European Stock Markets: A Cointegration and Granger Causality Analysis of Indices," Review of Applied Socio-Economic Research, Pro Global Science Association, vol. 26(1), pages 05-16, December.
    • Handle: RePEc:rse:wpaper:v:26:y:2023:i:2:p:05-16
    as

    Download full text from publisher

    File URL: http://reaser.eu/RePec/rse/wpaper/REASER26_01Gomez_P05-16.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Robert Engle, 2004. "Risk and Volatility: Econometric Models and Financial Practice," American Economic Review, American Economic Association, vol. 94(3), pages 405-420, June.
    2. Dimitris Georgoutsos & George Kouretas, 2001. "Common Stochastic Trends In International Stock Markets: Testing In An Integrated Framework," Working Papers 0104, University of Crete, Department of Economics.
    3. Alexander F. Wagner, 2020. "What the stock market tells us about the post-COVID-19 world," Nature Human Behaviour, Nature, vol. 4(5), pages 440-440, May.
    4. Álvaro Moreno, 2002. "Determinantes del tipo de cambio real en Colombia. Un modelo neokeynesiano," Revista de Economía Institucional, Universidad Externado de Colombia - Facultad de Economía, vol. 4(7), pages 40-61, July-Dece.
    5. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    6. Rousova, Linda, 2009. "Are the Central European Stock Markets Still Different? A Cointegration Analysis," Discussion Papers in Economics 10993, University of Munich, Department of Economics.
    7. Kasa, Kenneth, 1992. "Common stochastic trends in international stock markets," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 95-124, February.
    8. Véronique Meuriot, 2015. "the concept of cointegration: the decisive meeting between hendry and granger (1975)," Cahiers d’économie politique / Papers in Political Economy, L'Harmattan, issue 68, pages 91-118.
    Full references (including those not matched with items on IDEAS)

    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. Eleni Constantinou & Avo Kazandjian & Georgios P. Kouretas & Vera Tahmazian, 2008. "Common Stochastic Trends Among The Cyprus Stock Exchange And The Ase, Lse And Nyse," Bulletin of Economic Research, Wiley Blackwell, vol. 60(4), pages 327-349, October.
    2. Klaus Grobys, 2011. "Are Different National Stock Markets Driven by the Same Stochastic Hidden Variable?," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 3(1), pages 021-030, June.
    3. Anatoly A. Peresetsky & Ruslan I. Yakubov, 2017. "Autocorrelation in an unobservable global trend: does it help to forecast market returns?," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 7(1/2), pages 152-169.
    4. Xu, Haifeng & Hamori, Shigeyuki, 2012. "Dynamic linkages of stock prices between the BRICs and the United States: Effects of the 2008–09 financial crisis," Journal of Asian Economics, Elsevier, vol. 23(4), pages 344-352.
    5. Taufiq Choudhry & Mohammad Hasan, 2008. "Exchange Rate Regime and Demand for Reserves: Evidence from Kenya, Mexico and Philippines," Open Economies Review, Springer, vol. 19(2), pages 167-181, April.
    6. Claire G.Gilmore & Brian Lucey & Ginette M.McManus, 2005. "The Dynamics of Central European Equity Market Integration," The Institute for International Integration Studies Discussion Paper Series iiisdp069, IIIS.
    7. Mohamed, Hazik & Masih, Mansur, 2017. "Stock market comovement among the ASEAN-5 : a causality analysis," MPRA Paper 98781, University Library of Munich, Germany.
    8. 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.
    9. Qizilbash, M., 1995. "Egalitarian justice, capability and well-being prospects," Discussion Paper Series In Economics And Econometrics 9516, Economics Division, School of Social Sciences, University of Southampton.
    10. Dimpfl, Thomas, 2014. "A note on cointegration of international stock market indices," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 10-16.
    11. Huh, Hyeon-seung & Kim, David, 2013. "An empirical test of exogenous versus endogenous growth models for the G-7 countries," Economic Modelling, Elsevier, vol. 32(C), pages 262-272.
    12. Claudio Morana, 2004. "Frequency domain principal components estimation of fractionally cointegrated processes," Applied Economics Letters, Taylor & Francis Journals, vol. 11(13), pages 837-842.
    13. Robert-Jan Gerrits & Ayse Yuce, 1999. "Short- and long-term links among European and US stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 9(1), pages 1-9.
    14. Kausik Chaudhuri, 1997. "Stock returns in emerging markets: a common trend analysis," Applied Economics Letters, Taylor & Francis Journals, vol. 4(2), pages 105-108.
    15. Yanhua Chen & Rosario N Mantegna & Athanasios A Pantelous & Konstantin M Zuev, 2018. "A dynamic analysis of S&P 500, FTSE 100 and EURO STOXX 50 indices under different exchange rates," PLOS ONE, Public Library of Science, vol. 13(3), pages 1-40, March.
    16. Diamandis, Panayiotis F., 2009. "International stock market linkages: Evidence from Latin America," Global Finance Journal, Elsevier, vol. 20(1), pages 13-30.
    17. Voronkova, Svitlana, 2004. "Equity market integration in Central European emerging markets: A cointegration analysis with shifting regimes," International Review of Financial Analysis, Elsevier, vol. 13(5), pages 633-647.
    18. Siliverstovs, Boriss & L'Hegaret, Guillaume & Neumann, Anne & von Hirschhausen, Christian, 2005. "International market integration for natural gas? A cointegration analysis of prices in Europe, North America and Japan," Energy Economics, Elsevier, vol. 27(4), pages 603-615, July.
    19. Morana, Claudio, 2007. "Multivariate modelling of long memory processes with common components," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 919-934, October.
    20. Yang, Lixiong & Lee, Chingnun & Shie, Fu Shuen, 2014. "How close a relationship does a capital market have with other markets? A reexamination based on the equal variance test," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 198-226.

    More about this item

    Keywords

    Cointegration; stock markets; long-run equilibrium.;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

    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:rse:wpaper:v:26:y:2023:i:2:p:05-16. 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: Manuela Epure (email available below). General contact details of provider: https://edirc.repec.org/data/pgsaaea.html .

    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.