Open AccessCointegration between stock market indices: the case of the slovak and czech stock price indices
Author(s) -
Dawit Alemu Bemerew
Publication year - 1999
Publication title -
prague economic papers
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.233
H-Index - 17
eISSN - 2336-730X
pISSN - 1210-0455
DOI - 10.18267/j.pep.39
Subject(s) - slovak , czech , cointegration , unit root , economics , econometrics , stock (firearms) , stock market index , stock market , financial economics , unit root test , johansen test , error correction model , geography , philosophy , linguistics , context (archaeology) , archaeology
This paper provides an empirical investigation of long-term relationship between the stock market indices of the Czech and Slovak Republic. The empirical work applies log of weekly average data on the Czech PX - 50 and the Slovak SAX from September 1995 to December 1997. Empirical investigation is conducted by means of unit root tests and the EngleGranger methodology of cointegration test. The result from the unit root tests shows that individual stock indices are nonstationary - I(1). The result from the cointegration test shows that there is no long-term relationship between the two indices, even though, the strong economic ties and policy coordination between the two republics seem to be in favor of some cointegration.