Work

Testing causal relation among central and eastern European equity markets: evidence from asymmetric causality test

Year: 2017

Type: article

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.

Source: Economic Research-Ekonomska Istraživanja

DOI: 10.1080/1331677x.2017.1305774

Authors: Emrah Ismail Cevik, Emrah Ismail Cevik, Turhan Korkmaz, Emre Cevik, Emre Cevik

Institutions: Tekirdağ Namık Kemal University, Marmara University, Mersin Üniversitesi

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $944

OpenAlex ID: W2604317825

FWCI: 2.74

Cites: 25

Cited by: 31

Related to: 10