Testing causal relation among central and eastern European equity markets

Evidence from asymmetric causality test

Bibliographic Data

ID15066743
AuthorsEmrah İsmail Çevik (0000-0002-8155-1597, Department of Economics, Namık Kemal University, Tekirdag, Turkey, corresponding author), Turhan Korkmaz (0000-0001-5468-2279, Department of Business Administration, Mersin University, Mersin, Turkey), Emre Çevik (0000-0002-2012-9886, Department of Econometrics, Marmara University, Istanbul, Turkey)
Year2017
Volume30
Issue1
Pages381-393
Publication date2017-01-01
Open AccessYes
TypeARTICLE
VenueEconomic Research-Ekonomska Istraživanja (JOURNAL)
Journal identifiersISSN: 1331-677X • E-ISSN: 1848-9664
PublisherInforma UK Limited (PUBLISHER • GB)
DOI10.1080/1331677x.2017.1305774
OpenAlexW2604317825
LanguageEN
Citations received3
References cited19

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

Czech · Econometrics · Economics · Financial economics · Financial market · Geography · Granger causality · Monetary economics · Political science · Stock market · Financial Risk and Volatility Modeling · Market Dynamics and Volatility · Monetary Policy and Economic Impact · Finance

Tools

Open DOISci-HubOpen Access