- Tytuł:
- An analysis of the relationships among NASDAQ Baltic stock exchanges: VAR approach
- Autorzy:
- Zięba, Łukasz
- Powiązania:
- https://bibliotekanauki.pl/articles/16729733.pdf
- Data publikacji:
- 2021
- Wydawca:
- Instytut Naukowo-Wydawniczy "SPATIUM"
- Tematy:
-
stock exchanges
VAR model;
impulse response analysis
variance decomposition - Opis:
- The author examines the relationships among three stock exchanges of selected Baltic countries: Latvia, Estonia, and Lithuania. The respective stock exchange indexes are used as variables, OMXR for Latvia, OMXT for Estonia, and OMXV for Lithuania. The regression equations are estimated with the use of Vector Autoregressive (VAR) model. The author employs 80 observations for the sample period from2002 Q1 to 2021 Q4. After determining the optimal lag order, the impulse response function is calculated. The variance decomposition is carried out subsequently. A causality among the stock exchanges in question is determined.
- Źródło:
-
Central European Review of Economics & Finance; 2021, 34, 3; 51-65
2082-8500
2083-4314 - Pojawia się w:
- Central European Review of Economics & Finance
- Dostawca treści:
- Biblioteka Nauki
Artykuł