Analysis of Linkages between Central and Eastern European Capital Markets, “Dynamic Econometric Models

A b s t r a c t. The aim of the research is analysis of short- and long-term international relations between stock exchanges in Central and Eastern Europe. The analysis is provided in 3 stages. In the first step the order of the variables integration is examined. In the second stage short-run relationships for pairs of indexes are analyzed using Granger causality test. In the last step long-run relationships for pairs of indexes are examined applying Johansen cointegration method. K e y w o r d s: Emerging Markets, Equity CEE Markets, cointegration, Granger Causality, long-run relationships, short-run relationships