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- Title
IMPACT OF THE GLOBAL CRISIS ON THE LINKAGES BETWEEN CAC 40 AND INDEXES FROM CEE COUNTRIES.
- Authors
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.
- Subjects
EUROPE; GLOBAL Financial Crisis, 2008-2009; ECONOMIC indicators; STOCK price indexes; STOCK exchanges; COINTEGRATION; GRANGER causality test; ECONOMIC conditions in Eastern Europe; ECONOMIC conditions in Central Europe
- Publication
Annals of Eftimie Murgu University Resita, Fascicle II, Economic Studies, 2012, p300
- ISSN
1584-0972
- Publication type
Article