Testing causal relation among central and eastern European equity markets: Evidence from asymmetric causality test
Economic Research-Ekonomska Istrazivanja, cilt.30, sa.1, ss.381-393, 2017 (SSCI, Scopus)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 30 Sayı: 1
- Basım Tarihi: 2017
- Doi Numarası: 10.1080/1331677x.2017.1305774
- Dergi Adı: Economic Research-Ekonomska Istrazivanja
- Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
- Sayfa Sayıları: ss.381-393
- Anahtar Kelimeler: Stock markets, financial integration, causality, CEE equity markets
- Kırklareli Üniversitesi Adresli: Evet
Özet
The aim of this study is to analyse the presence of a causal link among financial markets of Central and Eastern Europe (CEE) countries by adopting an asymmetric causality test. The standard causality test results suggest a causal relation running from the Czech Republic to Poland. Also, the Poland stock market is found to be a Granger cause of Turkey stock markets. Asymmetric causality test results indicate only a causal link going from the Czech Republic to Hungary and Poland. In addition, the presence of financial integration between Germany and CEE equity markets cannot be determined.