Testing causal relation among central and eastern European equity markets: evidence from asymmetric causality test

Çevik, Emrah İsmail; Korkmaz, Turhan; Çevik, Emre

doi:10.1080/1331677x.2017.1305774

Cited by 14 publications

(7 citation statements)

References 22 publications

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“…The results of the Granger causality test under the VECM framework confirm that no short-run causality between the variables exists. Then, the results of this study contradict the research Cevik et al (2017) which analyse the presence of a causal link among financial markets of Central and Eastern Europe (CEE) countries by adopting an asymmetric causality test. The standard causality test results suggest a causal relation running from the Czech Republic to Poland.…”

Section: Causality Relationship Between Country Stock Market Index In...contrasting

confidence: 88%

Long-term and short-term dynamic relationships on the country Stock Market Index due to the impact of explosion of Ammonium Nitrate (NH4NO3) in Beirut, Lebanon: An event study analysis on the Stock Market Index of countries in The Middle East and the country Stock Market Index in Indonesia

Adristi,

Moin

2023

JSB

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Objectives ─ This research aims to examine the long-term and short-term dynamic relationships of the major stock market indices in Lebanon (BLSI), Israel (TA35), Jordan (AMGNRLX), Saudi Arabia (TASI), and Indonesia (IHSG) due to the impact of the ammonium nitrate explosion. (NH4NO3) in Beirut, Lebanon. Method ─ This research used samples after the explosion of ammonium nitrate (NH4NO3) in Beirut, Lebanon, from 10 August 2020 to 17 December 2020. Long-term and short-term dynamic relationships due to the impact of the ammonium nitrate (NH4NO3) explosion in Beirut, Lebanon were tested using the Johansen Cointegration Test and Granger Causality Test methods. Findings ─ The results show that: (1) There is a cointegration relationship in the return of the country stock market index in Lebanon (BLSI), Israel (TA35), Jordan (AMGNRLX), Saudi Arabia (TASI), and Indonesia (IHSG) after the explosion; (2) there is no bi-directional causality relationship or unidirectional relationship between benchmark variables, that is Return BLOM Stock Index (BLSI) with the Return TA-35 (TA35), Return Amman SE General (AMGNRLX), Return Tadawul All Share Index (TASI), and Return Indeks Harga Saham Gabungan (IHSG) variable after the explosion event. Originality ─ This paper presents a novelty with a study of events that link human events and capital market indices.

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Section: Causality Relationship Between Country Stock Market Index In...contrasting

confidence: 88%

Long-term and short-term dynamic relationships on the country Stock Market Index due to the impact of explosion of Ammonium Nitrate (NH4NO3) in Beirut, Lebanon: An event study analysis on the Stock Market Index of countries in The Middle East and the country Stock Market Index in Indonesia

Adristi,

Moin

2023

JSB

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“…Furthermore, we can also offer a broader perspective of the phenomenon in C.E.E. countries because previous studies focus rather on a single country (Hsing, 2011) or fewer countries than in our sample (Cevik, Korkmaz, & Cevik, 2017;Dra zenovi c & Kusanovi c, 2016;Pe sa & Festi c, 2014).…”

Section: Introductionmentioning

confidence: 99%

The role of the macroeconomic environment in shaping capital market co-movement in C.E.E. countries

Onofrei

Cărăuşu

Lupu

2019

Economic Research-Ekonomska Istraživanja

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This article revisits the relationship between the contagion and co-movement of 10 Central and Eastern European (C.E.E.) financial markets in relation to two major Western European capital markets using wavelet-based methodology. Based upon an A.R.D.L. panel model we found that foreign monetary policy, national exchange rate and economic cycle play a key role in both shortand long-term co-movement between capital markets. While a stable economic environment coupled with a strong national currency can reduce the degree of short-term co-movement between capital markets, changes in foreign monetary policy could increase the effect of external shocks. Furthermore, we find that inflation, foreign exchange rate and foreign economic cycle play an important role after longer periods. By ensuring a stable economic environment national authorities can help mitigate the effects of external shocks on national capital markets.

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“…V prípade slovenského akciového trhu je rozdiel medzi oboma polrokmi zanedbateľný. Pietrzak et al (2017) a Cevik et al (2017) skúmali vzájomné závislosti medzi jednotlivými akciovými trhmi krajín CEE. Rovnakou témou sa zaoberali taktiež Reboredo et al (2015), ktorí sledovali závislosti medzi akciovými trhmi Česka, Maďarska, Poľska a Rumunska.…”

Section: Stručný Prehľad Literatúryunclassified

Influence of German Stock Market on Stock Markets of V4 Countries

Árendáš¹,

Chovancová²,

Pavelka³

2020

Politicka ekonomie

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Influence of German Stock Market on Stock Markets of V4 Countries Due to progressing globalisation and deepening integration of global financial markets, the topic of relations between individual markets has got into the centre of attention of many economists. Especially on the stock markets, we can observe a tendency of the more developed markets to affect developments on the less developed markets. This is also valid for stock markets of the Central and Eastern European (CEE) countries, the V4 countries included. In the case of returns and volatilities of the V4 stock markets, it is possible to expect a strong influence of the German stock market. We follow this influence using the Granger causality. Our analysis shows that in the period 1999-2018, the German DAX stock index was Granger-causing the development of the Czech (PX), Hungarian (BUX) and Polish (WIG 20) stock indices, while this relation was not confirmed for DAX and the Slovak stock index SAX. However, the analysis of two sub-periods (1999-2007 and 2010-2018) shows slightly different results.

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Testing causal relation among central and eastern European equity markets: evidence from asymmetric causality test

Cited by 14 publications

References 22 publications

Long-term and short-term dynamic relationships on the country Stock Market Index due to the impact of explosion of Ammonium Nitrate (NH4NO3) in Beirut, Lebanon: An event study analysis on the Stock Market Index of countries in The Middle East and the country Stock Market Index in Indonesia

Long-term and short-term dynamic relationships on the country Stock Market Index due to the impact of explosion of Ammonium Nitrate (NH4NO3) in Beirut, Lebanon: An event study analysis on the Stock Market Index of countries in The Middle East and the country Stock Market Index in Indonesia

The role of the macroeconomic environment in shaping capital market co-movement in C.E.E. countries

Influence of German Stock Market on Stock Markets of V4 Countries

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