Original scientific paper
https://doi.org/10.1080/1331677X.2017.1305774
Testing causal relation among central and eastern European equity markets: evidence from asymmetric causality test
Emrah Ismail Cevik
Turhan Korkmaz
Emre Cevik
Abstract
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.
Keywords
Stock markets; financial integration; causality; CEE equity markets
Hrčak ID:
180824
URI
Publication date:
1.12.2017.
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