文章基本信息

标题：ANALYSIS OF THE DYNAMIC RELATIONS BETWEEN BET AND RASDAQ-C
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作者：Stefanescu Razvan Dumitriu Ramona
期刊名称：Annals of the University of Oradea : Economic Science
印刷版ISSN：1222-569X
电子版ISSN：1582-5450
出版年度：2009
卷号：XVIII
期号：03
出版社：University of Oradea
摘要：This paper explores the dynamic relations between two indices of Romanian stock markets: BET and RASDAQ-C. The results of our analysis cannot strongly support the hypothesis of the cointegration between the two variables. A Vector Autoregression model revealed weak interactions between the two indices. We find evidence of an unidirectional causality from BET to RASDAQ-C.
关键词：Romanian Stock Markets, Cointegration, Vector Autoregression, Granger Causality