The aim of this paper is to investigate the market efficiency on the foreign exchange market since the introduction of the Euro by applying the cointegration analysis to exchange rates. The introduction of the Euro has changed the structure of the global foreign exchange market to the extent...

Using a unique dataset covering two years of high frequency data on the indices from markets in the U. S., London, Frankfurt, Paris, Warsaw, Prague, and Budapest, we perform cointegration and Granger causality tests with data of different frequencies (from 5 minutes to 1 day). The aim is to...

The main objective of this paper is to investigate the international linkages among local, country-specific stock market factors in order to better understand the dependence structure of increasingly integrated world financial markets. The seeming discordance between Fama and French (1998) and...

The aim of this paper is to investigate the market efficiency on the foreign exchange market since the introduction of the Euro by applying the cointegration analysis to exchange rates. The introduction of the Euro has changed the structure of the global foreign exchange market to the extent...

This paper considers the interaction among equity markets in the Czech Republic and those in developed countries. Also considered are cross-listed securities traded in the Czech Republic whose global depository receipts (GDRs) are listed in London. The models used include Granger causality,...

This study provides a dynamic analysis of the lead-lag relationship between sovereign Credit Default Swap (CDS) and bond spreads of the highly indebted southern European countries, considering an extensive time sample from the period before the global financial crisis to the latest developments...

This study provides a dynamic analysis of the lead-lag relationship between sovereign Credit Default Swap (CDS) and bond spreads of the highly indebted southern European countries, considering an extensive time sample from the period before the global financial crisis to the latest developments...

Although the link between oil prices and dollar exchange rates has been frequently analyzed, a clear distinction between prices and nominal exchange rate dynamics and a clarification of the issue of causality has not been provided. In addition, previous studies have mostly neglected...