Impact of the global crisis on the linkages between CAC 40 and indexes from CEE countries

Nistor, Costel and Dumitriu, Ramona and Stefanescu, Razvan (2012): Impact of the global crisis on the linkages between CAC 40 and indexes from CEE countries. Published in: Proceedings of the 2nd International Conference on Business Administration and Economics ”People. Ideas. Experience”, October 25-26, 2012, Reşiţa (22 October 2012): pp. 319-332.

Abstract

This paper explores the relationship between CAC 40 Index and other three indexes from Central and East European countries: PX Index, BUX Index and BET-C Index before and during the global crisis. In our investigation we employ daily values of the four indexes from two periods of time: a pre-crisis period, from 3rd January 2005 to 15th September 2008 and a crisis period, from 16th September 2008 to 30th December 2011. We analyze the long-term relations by the Johansen cointegration procedure while for the short-term relations we use the Granger causality procedure. We find that global crisis strengthened the relations among the four indexes.

• Item Type: MPRA Paper
• Language: English
• Keywords: Stock Markets, Interdependences, Global Crisis, CEE Countries, Cointegration, Causality
• Subjects: G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets; G - Financial Economics > G0 - General > G01 - Financial Crises; F - International Economics > F3 - International Finance > F36 - Financial Aspects of Economic Integration

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