Long-Run Relationships among Selected Central and Eastern European Indexes

In the paper there are discussed results of investigation long-run relationship (cointegration) among East-Central European Indexes using Johansen method. The integration of financial markets has important implications. Highly integrated markets are not isolated from international shocks. This is the reason, that effective portfolio risk diversification among integrated markets can not be achieved. The research is based on actual data concerning daily observations of the indexes quoted at selected European Stocks Exchange from January 2000 until October 2009. The investigation is provided also for the periods as follows: the bear market (when the indexes were falling down), stagnation and the bull market(when the indexes were rising up).