Abstract:
Financial markets are an important source of liquidity for economic activities. In the same time, capital markets are facilitating the capital distribution between companies, regions or countries. Globalization process encouraged capital movement, but also allows the spreading of financial and economic crises. Through this paper, based on Granger causality methodology, we will highlight the interconnectedness among the stock markets from the EU countries from the Central and Eastern Europe for period 2005 – 2014. We particularly apply Granger causality test for a set of 6 markets (Bulgaria, Czech Republic, Hungary, Poland, Romania and Slovakia). The main results of the paper pointed out that during financial crisis period it was recorded a high level of interconnectedness between financial markets in this area. This means that the probability of triggering systemic risk had also increased.
