Investigating Causal Linkages Between International Stock Markets in Hungary and Austria in Terms of Economic Globalization

Investigating Causal Linkages Between International Stock Markets in Hungary and Austria in Terms of Economic Globalization

DOI: 10.4018/978-1-5225-9269-3.ch014

Abstract

The main aim of this chapter is to examine causal linkages between selected stock markets of Hungary and Austria in terms of economic globalization. The sample databases cover a long time period from January 2000 to December 2013. The selected ATX stock index represents Austria index, while BUX represents the main stock index of Hungary. The empirical findings highlighted that stock market in Hungary is significantly more volatile and provides comparatively higher investing opportunities for financial asset returns. There are strong evidences of no casual linkages between selected markets of Austria and Hungary. The econometric analysis includes BDS and Granger causality tests. The results are classified in a comparative manner. This book chapter will support decision makings on escalation ratios depending on the international financial market transmitting patterns.
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Methodological Approach

The empirical analysis is based on the daily returns of the major stock indices during the sample period between January 2000 and December 2013. The continuously-compounded daily returns are calculated using the log-difference of the closing prices of stock markets selected indices, ie ATX Index (Austria) and BUX Index (Hungary), as follows:

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