This thesis investigates the pricing relationship between the FTSE 100 Stock Index and the FTSE 100 Stock Index futures market. We develop and apply a framework in which it is possible to evaluate whether or not markets can be said to function effectively and efficiently. The framework is...

Purpose - This study examines the inter-linkages between Bitcoin prices and CEE stock markets (Hungary, the Czech Republic, Poland, Romania and Croatia). Design/methodology/approach - The dynamic contemporaneous nexus has been analyzed using both the multivariate DECO-GARCH model proposed by...

This paper examines the relationships between the Russian and other Central European (CE) and developed countries' equity markets over the 1995-2004 period.Along with the traditional Johansen and Juselius (1990) multivariate cointegration tests, we apply novel cointegration approaches, including...

Purpose - This study examines the inter-linkages between Bitcoin prices and CEE stock markets (Hungary, the Czech Republic, Poland, Romania and Croatia). Design/methodology/approach - The dynamic contemporaneous nexus has been analyzed using both the multivariate DECO-GARCH model proposed by...

This paper investigates whether the daily stock returns of the Polish, Czech and Hungarian stock markets are covariance stationary. Using the Pagan – Schwert (1990) and Loretan – Phillips (1994) testing procedures, we show that contrary to the widely accepted assumption of covariance...

We find compelling evidence that stock return autocorrelation is not spurious. Specifically, we find that partial price adjustment is an important source, and in some cases the main source, of the autocorrelation. In contrast to previous tests, our tests of partial price adjustment are direct,...

This paper investigates causal relationships and short-term interaction mechanisms among six Central and Eastern European stock markets and the USA stock exchange, while paying special consideration to the effects of the 2007-2009 global financial crisis. We employ daily observations for the six...

This paper examines the linkages between the Russian stock market and those of its largest neighbors in Central and Eastern Europe, and the world stock markets over the 10 year period 1995-2004. What we find is that there was a major change in the nature of these relationships after the so...

This paper examines the relationships between the Russian and other Central European (CE) and developed countries’ equity markets over the 1995-2004 period. Along with the traditional Johansen and Juselius (1990) multivariate cointegration tests, we apply novel cointegration approaches,...