Interdependence of Leading Western and East-European Stock Market Indices : Cointegration Analysis

• Autorzy: Waldemar Razik , Jerzy Romański
• Języki publikacji: EN

Abstrakty

EN

The idea of the research is based on an analysis of common stochastic trends existing among the analysed time series. In the case of cointegration this means that within a system consisting of p nonstationary series, there exist r cointegrating relations, which connect p variables by linear dependence, but the nonstationary character of variables is caused by the existing rp- common stochastic trends. Having assumed that we do have a case of cointegration, the estimated vector can be treated as an attractor, which illustrates economic dependence amongst time series under study.(fragment of text)

Słowa kluczowe

EN

Stock market indexes; Cointegration; Dependency analysis; Econometric models

PL

Indeks giełdowy; Kointegracja; Analiza zależności; Modele ekonometryczne

• Czasopismo: Dynamic Econometric Models
• Rocznik: 2002
• Tom: 5
• Strony: 125--134

Twórcy

autor

Waldemar Razik

• Nicolaus Copernicus University in Toruń, Poland

autor

Jerzy Romański

• Nicolaus Copernicus University in Toruń, Poland

Bibliografia

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