Object

Title: Causality analysis between stock market indices

Title in english:

Analiza przyczynowości między giełdowymi indeksami akcji

Creator:

Sekuła, Paweł

Description:

Financial Sciences = Nauki o Finansach, 2019, vol.24, no.1; s. 74-93

Abstrakt:

The paper examines relationships between selected stock market indices in Western Europe, Central Europe, and the United States. The study focuses on two periods, from January 1998 to August 2006 and from September 2006 to December 2016. The first one includes stock quotes from before the financial crisis while the second one covers the crisis and changes in the economic situation in post-crisis years. Relationships between stock market indices in developed economies were more frequent and durable than in Central Europe, although they were subject to changes. In our investigation into Granger causality relationships we observed changes in these relationships and in their direction for stock markets in Central Europe, while bidirectional relationships between indices in developed economies remained stable over time. Changes in relationships between indices, in particular long-term interdependences, may result from the impact of the 2008 financial crisis. The increased number of causality relationships for the markets in Central Europe may testify to the advancing integration of the EU common market.

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2019

Resource Type:

artykuł

Resource Identifier:

doi:10.15611/fins.2019.1.05 ; oai:dbc.wroc.pl:61947

Language:

eng

Relation:

Financial Sciences = Nauki o Finansach, 2019, vol. 24, no. 1

Access Rights:

Dla wszystkich zgodnie z licencją

License:

CC BY-NC-ND 3.0 PL

Location:

Uniwersytet Ekonomiczny we Wrocławiu

Group publication title:

Nauki o Finansach = Financial Sciences

Object collections:

Last modified:

Jun 27, 2019

In our library since:

Mar 7, 2019

Number of object content hits:

22

All available object's versions:

https://www.dbc.wroc.pl/publication/109528

Show description in RDF format:

RDF

Show description in OAI-PMH format:

OAI-PMH

Edition name Date
Causality analysis between stock market indices Jun 27, 2019

Objects

Similar

This page uses 'cookies'. More information