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- Title
Causality between Regional Stock Markets: A Frequency Domain Approach.
- Authors
Gradojević, Nikola; Dobardžić, Eldin
- Abstract
Using a data set from five regional stock exchanges (Serbia, Croatia, Slovenia, Hungary and Germany), this paper presents a frequency domain analysis of a causal relationship between the returns on the CROBEX, SBITOP, CETOP and DAX indices, and the return on the major Serbian stock exchange index, BELEX 15. We find evidence of a somewhat dominant effect of the CROBEX and CETOP stock indices on the BELEX 15 stock index across a range of frequencies. The results also indicate that the BELEX 15 index and the SBITOP index interact in a bi-directional causal fashion. Finally, the DAX index movements consistently drive the BELEX 15 index returns for cycle lengths between 3 and 11 days without any feedback effect.
- Subjects
GERMANY; HUNGARY; SERBIA; STOCK price indexes; STOCK exchanges; ASSET allocation; INTERNATIONAL finance; BUSINESS cycles
- Publication
Panoeconomicus, 2013, Vol 60, Issue 5, p633
- ISSN
1452-595X
- Publication type
Article
- DOI
10.2298/PAN1305633G