STUDIUL COMPARATIV AL PIEȚELOR BURSIERE EUROPENE: O ANALIZĂ AUTOREGRESIVĂ VECTORIALĂ
COMPARATIVE STUDY OF EUROPEAN STOCK MARKETS: A VECTORAL AUTOREGRESSIVE ANALYSIS
Author(s): Dan-Mihai DimaSubject(s): Business Economy / Management, International relations/trade, EU-Approach / EU-Accession / EU-Development, Financial Markets, ICT Information and Communications Technologies
Published by: Fundatia Institutul de Studii Financiare
Keywords: Stock indices; VECM; capital markets; co-integration; returns;
Summary/Abstract: The study analyzes the behavior of stock markets in Europe, focusing on the cointegration between Eastern European stock indices (SOFIX, BIST 100, WIG 20, PX Prague, CROBEX, and BET) and high-capitalization Western European stock indices (FTSE 100, DAX 40, CAC 40, BEL 20, SMI 20, and AEX), as well as the level of cointegration among the Western European indices. The analyzed time interval is January 2014 to February 2024. An initial empirical analysis reveals a consistently positive trend in stock indices and strong positive correlation relationships (according to the Pearson matrix). However, the results from Johansen, Granger, and VECM tests indicate that there is no long-term cointegration. Additionally, there are a significant number of Granger causality relationships, and significant responses to various shocks are not observed in terms of impulse-response functions. These findings have implications for both short-term and long-term investment decisions in stock markets. There is an opportunity for long-term diversification between Eastern and Western European stock indices.
Journal: ISF - Working papers
- Issue Year: 4/2024
- Issue No: 4
- Page Range: 14-30
- Page Count: 17
- Language: Romanian
