In this analysis the interdependence between foreign exchange markets and stock
markets for selected accession and cohesion countries is discussed. This includes basic
theoretical approaches. Monthly data for the nominal stock market indices and nominal
exchange rates are used, where Ireland, Portugal, Spain, Greece, Poland, Czech
Republic, Slovenia, and Hungary are included in the analysis. From the cointegration
analysis and VAR analysis both long-term links and short-term links for Poland are
identified. Conversely, for Slovenia, Hungary, Ireland, Spain, and Greece merely shortterm
links resulted. Surprisingly, the direction of causation is unambiguously from the
stock market index to the exchange rate for all six countries considered.