Open AccessCausality between regional stock markets: A frequency domain approach
Author(s) -
Nikola Gradojević,
Eldin Dobardžić
Publication year - 2013
Publication title -
panoeconomicus
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.289
H-Index - 14
eISSN - 2217-2386
pISSN - 1452-595X
DOI - 10.2298/pan1305633g
Subject(s) - index (typography) , stock (firearms) , stock market index , serbian , stock exchange , econometrics , economics , causality (physics) , stock market , geography , computer science , finance , physics , linguistics , context (archaeology) , philosophy , archaeology , world wide web , quantum mechanics
Using a data set from five regional stock exchanges (Serbia, Croatia, Slovenia, Hungary and Germany), this paper presents a frequency domain analysis of a causal relationship between the returns on the CROBEX, SBITOP, CETOP and DAX indices, and the return on the major Serbian stock exchange index, BELEX 15. We find evidence of a somewhat dominant effect of the CROBEX and CETOP stock indices on the BELEX 15 stock index across a range of frequencies. The results also indicate that the BELEX 15 index and the SBITOP index interact in a bi-directional causal fashion. Finally, the DAX index movements consistently drive the BELEX 15 index returns for cycle lengths between 3 and 11 days without any feedback effect