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.
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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 |
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Original Title: | Impact of the global crisis on the linkages between CAC 40 and indexes from CEE countries |
English Title: | Impact of the global crisis on the linkages between CAC 40 and indexes from CEE countries |
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 |
Item ID: | 42511 |
Depositing User: | Costel Nistor |
Date Deposited: | 08 Nov 2012 08:20 |
Last Modified: | 28 Sep 2019 16:43 |
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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/42511 |