An Analysis of the Relationships among NASDAQ Baltic Stock Exchanges: VAR Approach

• Autorzy: Łukasz Zięba
• Języki publikacji: EN

Abstrakty

EN

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. (original abstract)

Słowa kluczowe

PL

Giełda; Model wektorowej autoregresji; Funkcje odpowiedzi na impuls

EN

Stock exchange; Vector Autoregression Model (VAR); Impulse Response Functions (IRF)

• Czasopismo: Central European Review of Economics & Finance
• Rocznik: 2021
• Numer: Vol. 34, No 3
• Strony: 51-65

Twórcy

autor

Łukasz Zięba

• Kazimierz Pulaski University of Technologies and Humanities in Radom, Poland

Bibliografia

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Identyfikatory

DOI

10.24136/ceref.2021.012