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Transactions: INTERNATIONAL JOURNAL of APPLIED MATHEMATICS AND INFORMATICS
Transactions ID Number: 19-828
Full Name: Cristiana Tudor
Position: Senior Lecturer
Age: ON
Sex: Female
Address: Panait Cerna 7, M44, apt 10, sector 3, 030991, Bucharest
Country: ROMANIA
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E-mail address: cristianat@gmail.com
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Title of the Paper: Time varying causality between stock markets in the CEE region
Authors as they appear in the Paper:
Email addresses of all the authors: cristianat@gmail.com
Number of paper pages: 8
Abstract: This paper analyzes the evolution of linkages and causality between six Central and Eastern European (Bulgaria, Czech Republic, Hungary, Poland, Romania, Russia) and the USA stock exchanges. The effects of the recent global financial crisis and possible changes in inter-market relationships as a result of the crisis are topics of special interest in this research. For this purpose, the panel data sample (daily observations for the 2006-2009 time period) is divided into two sub-periods corresponding to the pre-crisis and crisis period. In order to separate the two sub-periods, a secondary investigation is conducted which shows that the beginning of July 2007 is the moment when the global financial crisis began to show its full manifestations on international stock exchanges. The study concludes that stock markets in the CEE region have became increasingly integrated during crisis, while before the crisis the markets appear to be segmented, as both contemporaneous co!
rrelations and causality relationships are mostly insignificant. Also, before the crisis CEE markets were significantly influenced by innovations in the USA market, thus explaining why they were affected heavily by the crisis, which has managed to spread immediately in the region. As far as the risk-adjusted performance is concerned, the Czech market realized the best risk-adjusted performance due to its average rate of return and low risk, s followed by the Romanian, Russian and Polish stock markets, while the lowest risk-adjusted performance, as represented by the coefficient of variation was found in the case of the US stock market.
Keywords: Granger causality, contemporaneous correlation, risk-adjusted performance, Central and Eastern European Stock exchanges
EXTENSION of the file: .doc
Special (Invited) Session: Causal relationships among CEE stock markets. The impact of the global financial crisis
Organizer of the Session: 202-275
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