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

Author

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  • Nistor, Costel
  • Dumitriu, Ramona
  • Stefanescu, Razvan
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.

Suggested Citation

  • Nistor, Costel & Dumitriu, Ramona & Stefanescu, Razvan, 2012. "Impact of the global crisis on the linkages between CAC 40 and indexes from CEE countries," MPRA Paper 42511, University Library of Munich, Germany, revised 18 Sep 2012.
    • Handle: RePEc:pra:mprapa:42511
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    References listed on IDEAS

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    Cited by:

    1. Kralik Lóránd István, 2018. "Conditional Correlation on CEE Stock Markets," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 130-136, December.

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    More about this item

    Keywords

    Stock Markets; Interdependences; Global Crisis; CEE Countries; Cointegration; Causality;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G01 - Financial Economics - - General - - - Financial Crises
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration

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