Causality between Regional Stock Markets: A Frequency Domain Approach
Using a data set from five regional stock exchanges (Serbia, Croatia, Slovenia, Hungary and Germany), this paper presents a frequency domain analysis of a causal relationship between the returns on the CROBEX, SBI-TOP, CETOP and DAX indices, and the return on the major Serbian stock exchange index, BELEX 15. We find evidence of a somewhat dominant effect of the CROBEX and CETOP stock indices on the BELEX 15 stock index across a range of frequencies. The results also indicate that the BELEX 15 index and the SBITOP index interact in a bi-directional causal fashion. Finally, the DAX index movements consistently drive the BELEX 15 index returns for cycle lengths between 3 and 11 days without any feedback effect.
Year of publication: |
2013
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Authors: | Nikola Gradojević ; Eldin Dobardžić |
Published in: |
Panoeconomicus. - Savez ekonomista Vojvodine, Novi Sad, Serbia. - Vol. 60.2013, 5, p. 633-647
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Publisher: |
Savez ekonomista Vojvodine, Novi Sad, Serbia |
Subject: | Stock market indices | Causality | Frequency domain |
Saved in:
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