АНАЛИЗ НА ВЗАИМОВРЪЗКИТЕ МЕЖДУ КАПИТАЛОВИТЕ И ВАЛУТНИТЕ ПАЗАРИ
ANALYSIS OF THE RELATIONSHIPS BETWEEN CAPITAL AND FOREIGN EXCHANGE MARKETS

Summary/Abstract: The correct and complete evaluation of the links between the different financial markets is necessary both, for the macro-market analysis, and for the refinement of the personal investment decisions and optimization of the investment choice. In this study, we investigate the links between the major capital markets in Europe and the foreign exchange market, as well as between the capital markets themselves. As a result of correlation analysis, we find a strong positive correlation between the indices of the eight European stock exchanges indexes surveyed. The twelve currency pairs studied show both direct and inverse dependencies , and generally with low statistical significance. With the empirical study of the distribution of yields from stock exchange indices and exchange rates using the Kolmogorov-Smirnov model, we find that in both markets the yield deviates from the normal Gaussian distribution, with a significant deviation in currency pairs. For the most important task here - the question of cause and effect relationships between the two markets studied, using the Granger model, we find a pronounced dependence of the capital markets of the changes in exchange rates.

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