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

9 Pages Posted: 7 Jul 2012

See all articles by Costel Nistor

Costel Nistor

University Dunarea de Jos Galati

Ramona Dumitriu

University Dunarea De Jos Galati

Razvan Stefanescu

University Dunarea De Jos Galati

Date Written: July 7, 2012

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.

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

JEL Classification: F36, G01, G15

Suggested Citation

Nistor, Costel and Dumitriu, Ramona and Stefanescu, Razvan, Impact of the Global Crisis on the Linkages between CAC 40 and Indexes from CEE Countries (July 7, 2012). Available at SSRN: https://ssrn.com/abstract=2102058 or http://dx.doi.org/10.2139/ssrn.2102058

Costel Nistor (Contact Author)

University Dunarea de Jos Galati ( email )

Galati, 800001
Romania

Ramona Dumitriu

University Dunarea De Jos Galati ( email )

Romania

Razvan Stefanescu

University Dunarea De Jos Galati ( email )

Str. Domnească, nr. 47
Galati, 800008
Romania

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