Analysis of Linkages between Central and Eastern European Capital Markets

• Autorzy: Dorota Witkowska , Krzysztof Kompa , Aleksandra Matuszewska-Janica

Warianty tytułu

Analiza relacji pomiędzy rynkami kapitałowymi Europy Środkowej i Wschodniej

• Języki publikacji: EN

Abstrakty

EN

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)

Słowa kluczowe

EN

Stock exchange; Capital market; Cointegration

PL

Giełda; Rynek kapitałowy; Kointegracja

• Czasopismo: Dynamic Econometric Models
• Rocznik: 2012
• Tom: 12
• Strony: 19--32

Twórcy

autor

Dorota Witkowska

• Warsaw University of Life Sciences - SGGW, Poland

autor

Krzysztof Kompa

• Warsaw University of Life Sciences - SGGW, Poland

autor

Aleksandra Matuszewska-Janica

• Warsaw University of Life Sciences - SGGW, Poland

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Identyfikatory

DOI

10.12775/DEM.2012.002