Causality between Regional Stock Markets: A Frequency Domain Approach

  • Nikola Gradojević Lille Catholic University, IÉSEG School of Management (LEM-CNRS), France; University of Novi Sad, Faculty of Technical Sciences, Serbia; Rimini Centre for Economic Analysis, Italy
  • Eldin Dobardžić State University of Novi Pazar, Department of Economics; University of Novi Sad, Faculty of Technical Sciences, Serbia

Abstract

Using a data set from five regional stock exchanges (Serbia, Croatia, Slovenia, Hungary and Germany), this paper presents a frequency domain analysis of a causal relationship between the returns on the CROBEX, SBITOP, CETOP and DAX indices, and the return on the major Serbian stock exchange index, BELEX 15. We find evidence of a somewhat dominant effect of the CROBEX and CETOP stock indices on the BELEX 15 stock index across a range of frequencies. The results also indicate that the BELEX 15 index and the SBITOP index interact in a bi-directional causal fashion. Finally, the DAX index movements consistently drive the BELEX 15 index returns for cycle lengths between 3 and 11 days without any feedback effect.


Key words: Stock market indices, Causality, Frequency domain.
JEL: C58, G15.

How to Cite
Gradojević N., & Dobardžić E. (2013). Causality between Regional Stock Markets: A Frequency Domain Approach. Panoeconomicus, 60(5), 633-647. doi:10.2298/PAN1305633G
Section
Original scientific paper