Regional and international causal linkages. evidence from CEE stock markets
Regional and international causal linkages. evidence from CEE stock markets
This study examines the dynamic linkages between nine Central and Eastern European (CEE) emerging markets and the developed ones, i.e. Austrian, French, German, British and American stock markets. To investigate the nature of transmission of information we employ two econometric models which are estimated in framework of maximum likelihood, GARCH, and vector autoregression. Our findings suggest that there exist some reaction from CEE markets to the arrival of price innovations from the developed