The Interdependence of the Stock Markets Developed in Central and Eastern- European Stock Markets - Represented by the Stock Indices
In our research, we looked at how the interdependence of stock markets has changed over time. For this, we looked at three stock markets in Europe: one in Western Europe that is welldeveloped, one in Central Europe that is medium-sized, and one in Eastern Europe that is less well-developed. In the...
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| Format: | Article |
| Language: | English |
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Ovidius University Press
2022-12-01
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| Series: | Ovidius University Annals: Economic Sciences Series |
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| Online Access: | https://stec.univ-ovidius.ro/html/anale/RO/2022-issue2/Section%205/25.pdf |
| _version_ | 1828009860279566336 |
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| author | Mitica Pepi |
| author_facet | Mitica Pepi |
| author_sort | Mitica Pepi |
| collection | DOAJ |
| description | In our research, we looked at how the interdependence of stock markets has changed over time.
For this, we looked at three stock markets in Europe: one in Western Europe that is welldeveloped, one in Central Europe that is medium-sized, and one in Eastern Europe that is less
well-developed. In the analysis, stock indices from these markets were used. For the western
market, we examined the indices KAK40 for the French stock market, DAX for the German stock
market, and FTSE100 for the British stock market. The PX index in the Czech Republic and the
BUX index on the Hungarian stock exchange were examined for the average market in Central
Europe, and the BET index in Romania and the LJSEX index in Slovenia were examined for the
less developed market. The linear and nonlinear Granger tests conducted on the closing rates of
the corresponding stock exchanges were correlated without the use of the conditionality clause.
The first three stock markets (Germany, France, and Great Britain) were found to be more
interdependent than the Romanian and Slovenian markets, which displayed a weaker connection.
The Granger tests were used to come to the conclusion that there are various statistically
calculated levels of stock market returns that result from the interdependencies between the three
types of financial markets examined. |
| first_indexed | 2024-04-10T08:46:09Z |
| format | Article |
| id | doaj.art-bba60bc5d99a4f4890e1e18b6bca4365 |
| institution | Directory Open Access Journal |
| issn | 2393-3127 |
| language | English |
| last_indexed | 2024-04-10T08:46:09Z |
| publishDate | 2022-12-01 |
| publisher | Ovidius University Press |
| record_format | Article |
| series | Ovidius University Annals: Economic Sciences Series |
| spelling | doaj.art-bba60bc5d99a4f4890e1e18b6bca43652023-02-22T08:40:13ZengOvidius University PressOvidius University Annals: Economic Sciences Series2393-31272022-12-01XXII29951000The Interdependence of the Stock Markets Developed in Central and Eastern- European Stock Markets - Represented by the Stock IndicesMitica Pepi0“Ovidius” University of Constanta In our research, we looked at how the interdependence of stock markets has changed over time. For this, we looked at three stock markets in Europe: one in Western Europe that is welldeveloped, one in Central Europe that is medium-sized, and one in Eastern Europe that is less well-developed. In the analysis, stock indices from these markets were used. For the western market, we examined the indices KAK40 for the French stock market, DAX for the German stock market, and FTSE100 for the British stock market. The PX index in the Czech Republic and the BUX index on the Hungarian stock exchange were examined for the average market in Central Europe, and the BET index in Romania and the LJSEX index in Slovenia were examined for the less developed market. The linear and nonlinear Granger tests conducted on the closing rates of the corresponding stock exchanges were correlated without the use of the conditionality clause. The first three stock markets (Germany, France, and Great Britain) were found to be more interdependent than the Romanian and Slovenian markets, which displayed a weaker connection. The Granger tests were used to come to the conclusion that there are various statistically calculated levels of stock market returns that result from the interdependencies between the three types of financial markets examined. https://stec.univ-ovidius.ro/html/anale/RO/2022-issue2/Section%205/25.pdfstock marketsglobal crisisstock market returncorrelationgranger causality |
| spellingShingle | Mitica Pepi The Interdependence of the Stock Markets Developed in Central and Eastern- European Stock Markets - Represented by the Stock Indices Ovidius University Annals: Economic Sciences Series stock markets global crisis stock market return correlation granger causality |
| title | The Interdependence of the Stock Markets Developed in Central and Eastern- European Stock Markets - Represented by the Stock Indices |
| title_full | The Interdependence of the Stock Markets Developed in Central and Eastern- European Stock Markets - Represented by the Stock Indices |
| title_fullStr | The Interdependence of the Stock Markets Developed in Central and Eastern- European Stock Markets - Represented by the Stock Indices |
| title_full_unstemmed | The Interdependence of the Stock Markets Developed in Central and Eastern- European Stock Markets - Represented by the Stock Indices |
| title_short | The Interdependence of the Stock Markets Developed in Central and Eastern- European Stock Markets - Represented by the Stock Indices |
| title_sort | interdependence of the stock markets developed in central and eastern european stock markets represented by the stock indices |
| topic | stock markets global crisis stock market return correlation granger causality |
| url | https://stec.univ-ovidius.ro/html/anale/RO/2022-issue2/Section%205/25.pdf |
| work_keys_str_mv | AT miticapepi theinterdependenceofthestockmarketsdevelopedincentralandeasterneuropeanstockmarketsrepresentedbythestockindices AT miticapepi interdependenceofthestockmarketsdevelopedincentralandeasterneuropeanstockmarketsrepresentedbythestockindices |