Aktar I.2020-06-252020-06-25200914502887https://hdl.handle.net/20.500.12587/2093This study investigates whether there exists long run relationship and Granger Causality between Turkish, Russian and Hungarian stock indices for the period of January 5, 2000 and October 22, 2008. Applying to ADF test shows that the series are non- stationary. Yet, once we difference them, the series become stationary. We find the cointegration among the stock indices by using Johansen estimation technique. This tells us that there is a short run relationship and causality among the stock indices. Applying to Granger Causality test reveals that the bidirectional causality for the Turkish and Russian stock indices. We also find that Hungarian stock market does Granger cause to Turkish stock market but not vice versa. Furthermore, Russian stock market does Granger cause to Hungarian stock market but not vice versa. © EuroJournals Publishing, Inc. 2009.eninfo:eu-repo/semantics/closedAccessCointegrationEmerging MarketsGranger CausalityHungaryRussiaStock MarketTurkeyVECMArticle1261922002-s2.0-67549118752N/A