This paper examines bilateral and multilateral cointegration properties of the German stock market and the three most credible Central European candidates for membership in the European Union. The cointegration tests cover the time period of July 5, 1995, to March 27, 2002. The DAX is used to represent the German equity market and the IFCI indices represent the Central European equity markets. Application of the Johansen (1988) cointegration procedure indicates that there is no long‐term relationship between the German market and the Central European markets, either individually or as a group. The Granger‐causality test does reveal some short‐term effects running from the German to the Polish market but no reverse causality. Overall, the results suggest that neither trade, financial liberalization, nor the introduction of the Euro has yet had sufficient impact to bring these markets into a long‐term relationship.
GILMORE, C. and McMANUS, G. (2003), "BILATERAL AND MULTILATERAL COINTEGRATION PROPERTIES BETWEEN THE GERMAN AND CENTRAL EUROPEAN EQUITY MARKETS", Studies in Economics and Finance, Vol. 21 No. 1, pp. 40-53. https://doi.org/10.1108/eb028768Download as .RIS
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