Dumencu, Alexandra
June 2012
Review of Economic Studies & Research Virgil Madgearu;Jun2012, Vol. 5 Issue 1, p45
Academic Journal
Based on the theory of cointegration introduced by Engle and Granger and on the methodology developed by Johansen, this paper investigates long term cointegration between Central-Eastern European stock markets and the consequences of using Pairs Trading strategy as an investment approach. The stock price indexes of Romania, Hungary and Czech Republic are used, with daily data spanning from 4 January 1999 to 30 December 2009. The findings of this article outline optimum portfolios build using long and short positions of financial assets.


Related Articles

  • Can Stocks Hedge against Inflation in the Long Run? Evidence from Ghana Stock Market. Adam, Anokye Mohammed; Frimpong, Siaw // International Journal of Business & Management;Jun2010, Vol. 5 Issue 6, p188 

    Based on Fisher (1930) hypothesis, we test whether Ghana stock market can provide hedge against inflation in the long run using cointegration analysis. Using data for the Databank stock Index (DSI) from January 1991 to December 2007, the results give strong support for the hedge property. Thus...

  • Mastering Volatility. Delegge, Ronald L. // Research;Feb2012, Vol. 35 Issue 2, p20 

    The article offers information on how to hedge stock market volatility. It informs that volatility index (VIX) is a forward looking tool that measures the expected future volatility of the stock index for 30 days. As stated, reducing stock market volatility might be high on a client's list of...

  • The Stock Markets and Real Economic Activity. Lyócsa, Štefan; Baumöhl, Eduard; Výrost, Tomáš // Eastern European Economics;Jul/Aug2011, Vol. 49 Issue 4, p6 

    The goal of this paper is to provide new evidence on the bidirectional relationships between economic activity indicators and stock market returns in four Central and Eastern European (CEE) countries: Poland, the Czech Republic, Hungary, and Slovakia. Using the single equation error correction...

  • ANALIZA ZALEÅ»NOÅšCI MIĘDZY INDEKSAMI RYNKÓW AKCJI NA GIEŁDZIE POLSKIEJ I AMERYKAŃSKIEJ. Przekota, Grzegorz // Operations Research & Decisions;2007, Issue 3/4, p133 

    For research purposes, in order to show relationships between values of American S&P500 index and Polish WIG index, two models have been constructed. Because of the volume of the American Stock Exchange, the analysis should answer the question of "how the situation on American Stock Exchange...

  • Cointegration and causality analysis of dynamic linkage between stock market and equity mutual funds in Australia. Pojanavatee, Sasipa; McMillan, David // Cogent Economics & Finance;Dec2014, Vol. 2 Issue 1, pN.PAG 

    The existing literature finds conflicting results on the magnitude of price linkages between equity mutual funds and the stock market. The study contends that in an optimal lagged model, the expectations of future prices using knowledge of past price behaviour in a particular equity mutual fund...

  • Do currencies influence the stock prices of companies? Kroon, Erik; Van Veen, Olaf // Journal of Asset Management;Dec2004, Vol. 5 Issue 4, p251 

    There have not been many studies examining the currency sensitivity of a truly global stock universe. This paper examines 1,691 stocks from 24 countries over the period 1996-2002. First, it shows that 'general' stock market indices tend to be relatively currency sensitive, with the largest...

  • Hedging Effectiveness of Stock Index Futures Contracts in the Indian Derivative Markets. Mandal, Anandadeep // International Journal of Financial Management;2011, Vol. 1 Issue 2, p1 

    This paper studies hedging effectiveness in Indian stock index futures market. The main focus is on various procedures to estimate time-varying and static optimal hedge ratios. For the S&P CNX Nifty futures contract 5 different econometric models that are employed. The data set used is from...

  • Now looking toppish. Abrams, Colin // Finweek;8/26/2010, p42 

    The article focuses on industrial stocks in South Africa and in the U.S. It shows that the South African version has exceeded its U.S. counterpart on a relative basis. However, both countries are performing well and setting up for large corrections. Traders are recommended to consider selling...

  • Explosion of Stock Market Indices - A Dimension of Financial Innovation. Matei, Mirela // Petroleum - Gas University of Ploiesti Bulletin, Economic Scienc;2008, Vol. 60 Issue 4, p77 

    Financial innovation process is very intense in the segment of stock market indices, because of the importance of these financial instruments. They are used to track the performance of the whole stock market or of the segments of this market. In addition, many exchange-traded funds replicate the...


Read the Article


Sorry, but this item is not currently available from your library.

Try another library?
Sign out of this library

Other Topics