Cointegration and international linkage between Greek and Romanian stock markets

摘要

This article aims to investigate cointegration and international linkage between Greek and Romanian stock markets. International financial markets behavior is influenced by the propagation of financial shock through causal transmission channels especially in the context of a globalized world wide economy. A particular aspect is the occurrence of extreme events, such as the global financial crisis that erupted in mid-2007 in the U.S. The empirical analysis is based on daily returns of selected stock markets major indices for the period January 2003 until December 2012. The time series is divided into two sub-periods in order to investigate both pre-crisis and post-crisis effects. The empirical analysis includes Unit Root Test, Augmented Dickey-Fuller stationary test, BDS test and Granger causality test.