Impact of the Global Crisis on the Linkages between CAC 40 and Indexes from CEE Countries

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.

Number of Pages in PDF File: 9

Keywords: Stock Markets, Interdependences, Global Crisis, CEE Countries, Cointegration, Causality

JEL Classification: F36, G01, G15

working papers series