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2012 | 12 | 19--32
Tytuł artykułu

Analysis of Linkages between Central and Eastern European Capital Markets

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Warianty tytułu
Analiza relacji pomiędzy rynkami kapitałowymi Europy Środkowej i Wschodniej
Języki publikacji
The aim of the research is analysis of short- and long-term international relations between stock exchanges in Central and Eastern Europe. The analysis is provided in 3 stages. In the first step the order of the variables integration is examined. In the second stage short-run relationships for pairs of indexes are analyzed using Granger causality test. In the last step long-run relationships for pairs of indexes are examined applying Johansen cointegration method. (original abstract)
Celem analizy jest ocena związków krótkookresowych (w zakresie przyczynowości) i długookresowych (kointegracja) pomiędzy rynkami kapitałowymi Europy Środkowej i Wschodniej, a w szczególności pomiędzy giełdą w Warszawie i pozostałymi rynka-mi. Analizie poddano dzienne, tygodniowe i miesięczne stopy zwrotu indeksów notowanych na tych rynkach. Badania obejmują okres od stycznia 2000 do listopada 2010. (abstrakt oryginalny)
Opis fizyczny
  • Warsaw University of Life Sciences - SGGW, Poland
  • Warsaw University of Life Sciences - SGGW, Poland
  • Warsaw University of Life Sciences - SGGW, Poland
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