Wpływ giełd światowych na notowania giełd Europy Środkowo-Wschodniej – analiza trendów i autokorelacji
Impact of the world exchange markets on Eastern and Central Europe market’s quotations - analysis of trends and autocorrelations

Summary/Abstract: The research on the direct impact of the main global stock markets indexes quotes on Central-European stock markets indexes revealed a significant autocorrelation of linear models residuals. Based on the Durbin-Watson tests, in a significant number of cases, the null hypothesis of independence of linear models error must be rejected. This fact has led the authors to carry out a more detailed analysis of statistical correlation between model’s residuals. The aim of the article is to categorize the nature of relationship between global and Central-European stock markets indexes. Especially important is to analyze the strength and direction of impact which may result from time series data transfer. The main objective of the research is to review a following thesis: there is persistent dependency between residuals of linear models of Central-European indexes quotations and the main global stock markets indexes quotes.

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