Author: Mr.Ray Yeu-Tien Chou
Publisher: International Monetary Fund
ISBN: 1451950705
Category : Business & Economics
Languages : en
Pages : 16
Book Description
In this paper, we derive evidence on the integration of international stock markets from the cointegration properties of international stock market prices. Using the multivariate cointegration test of Johansen, we find that the set of six country stock price indices, including that of the United States, Canada, the United Kingdom, France, Germany, and Japan are cointegrated. The results suggest that there are long-run equilibrium relationships among the stock market prices. Subsample and subgroup analyses also indicate that the cointegration relationships have become stronger over time. This is consistent with greater stock market integration amid the increasing liberalization and globalization of capital markets.
An Analysis of the Cointegration of United States Stock Market Indices
Author: Brian J. Geiger
Publisher:
ISBN:
Category : Investment analysis
Languages : en
Pages : 60
Book Description
Publisher:
ISBN:
Category : Investment analysis
Languages : en
Pages : 60
Book Description
Cointegration of International Stock Market Indices
Author: Mr.Ray Yeu-Tien Chou
Publisher: International Monetary Fund
ISBN: 1451950705
Category : Business & Economics
Languages : en
Pages : 16
Book Description
In this paper, we derive evidence on the integration of international stock markets from the cointegration properties of international stock market prices. Using the multivariate cointegration test of Johansen, we find that the set of six country stock price indices, including that of the United States, Canada, the United Kingdom, France, Germany, and Japan are cointegrated. The results suggest that there are long-run equilibrium relationships among the stock market prices. Subsample and subgroup analyses also indicate that the cointegration relationships have become stronger over time. This is consistent with greater stock market integration amid the increasing liberalization and globalization of capital markets.
Publisher: International Monetary Fund
ISBN: 1451950705
Category : Business & Economics
Languages : en
Pages : 16
Book Description
In this paper, we derive evidence on the integration of international stock markets from the cointegration properties of international stock market prices. Using the multivariate cointegration test of Johansen, we find that the set of six country stock price indices, including that of the United States, Canada, the United Kingdom, France, Germany, and Japan are cointegrated. The results suggest that there are long-run equilibrium relationships among the stock market prices. Subsample and subgroup analyses also indicate that the cointegration relationships have become stronger over time. This is consistent with greater stock market integration amid the increasing liberalization and globalization of capital markets.
A Cointegration Analysis of Latin American Stock Markets and the U.S.
Author: Rene Sanchez Valle
Publisher:
ISBN:
Category :
Languages : en
Pages : 15
Book Description
This paper investigates the long run relationship between four major Latin American stock markets (Argentina, Brazil, Chile and Mexico) and the United States for the period 1976-1998. Using Johansen's multivariate cointegration analysis, we find a stationary long run relationship between the stock indices during the 1976-1998 period, and also during the post-October 1987 stock market crash period (1987-1998). No stationary relationship was found during the pre-crash period (1976-1987). Finally, an important role is played by the markets' degree of development and cooperation among themselves.
Publisher:
ISBN:
Category :
Languages : en
Pages : 15
Book Description
This paper investigates the long run relationship between four major Latin American stock markets (Argentina, Brazil, Chile and Mexico) and the United States for the period 1976-1998. Using Johansen's multivariate cointegration analysis, we find a stationary long run relationship between the stock indices during the 1976-1998 period, and also during the post-October 1987 stock market crash period (1987-1998). No stationary relationship was found during the pre-crash period (1976-1987). Finally, an important role is played by the markets' degree of development and cooperation among themselves.
International Integration of Equity Markets and Contagion Effects
Author: Mr.Paul Cashin
Publisher: International Monetary Fund
ISBN: 1451853289
Category : Business & Economics
Languages : en
Pages : 58
Book Description
This paper investigates empirically the degree of international integration of industrial and emerging country equity markets. It analyzes two issues: first, the extent to which equity prices have tended to move similarly across countries and regions in the long run; and second, the strength of cross-country “contagion” effects. The paper’s findings suggest that both intra-regional and inter-regional linkages across national equity markets have strengthened in recent years. In addition, using impulse response functions, the paper shows that cross-country contagion effects of country-specific shocks dissipate in a matter of weeks while contagion effects of global shocks take several months to unwind themselves.
Publisher: International Monetary Fund
ISBN: 1451853289
Category : Business & Economics
Languages : en
Pages : 58
Book Description
This paper investigates empirically the degree of international integration of industrial and emerging country equity markets. It analyzes two issues: first, the extent to which equity prices have tended to move similarly across countries and regions in the long run; and second, the strength of cross-country “contagion” effects. The paper’s findings suggest that both intra-regional and inter-regional linkages across national equity markets have strengthened in recent years. In addition, using impulse response functions, the paper shows that cross-country contagion effects of country-specific shocks dissipate in a matter of weeks while contagion effects of global shocks take several months to unwind themselves.
Cointegration Test for Equity Market Integration
Author: Hwahsin Cheng
Publisher:
ISBN:
Category : Cointegration
Languages : en
Pages : 258
Book Description
Publisher:
ISBN:
Category : Cointegration
Languages : en
Pages : 258
Book Description
A Test of Cointegration between Security Markets of Latin American Nations, the NYSE and the Dow Jones Indices
Author: Eva R. Porras
Publisher:
ISBN:
Category :
Languages : en
Pages : 32
Book Description
This study uses cointegration tests to examine the relationships among the stock markets of Argentina, Brazil, Chile, Colombia, Mexico, Peru, Venezuela and the NYSE and Dow Jones Indexes. The goal of this paper to test whether cointegration exists between the stock market index of each of the mentioned developing nations, and the US stock market. Previous studies have shown that unit roots occur in stock price series, in accordance with rational expectations and efficient markets under certain assumptions. Two-to-eight daily lags and two-to-twelve monthly lags are examined. Unit roots in stocks prices are found. Our results also show that there is monthly and daily cointegration between the NYSE and the Dow Jones Indices and the security markets of Mexico and Venezuela, and no cointegration with the stock markets of Argentina, Brazil, Chile, Colombia, and Peru.
Publisher:
ISBN:
Category :
Languages : en
Pages : 32
Book Description
This study uses cointegration tests to examine the relationships among the stock markets of Argentina, Brazil, Chile, Colombia, Mexico, Peru, Venezuela and the NYSE and Dow Jones Indexes. The goal of this paper to test whether cointegration exists between the stock market index of each of the mentioned developing nations, and the US stock market. Previous studies have shown that unit roots occur in stock price series, in accordance with rational expectations and efficient markets under certain assumptions. Two-to-eight daily lags and two-to-twelve monthly lags are examined. Unit roots in stocks prices are found. Our results also show that there is monthly and daily cointegration between the NYSE and the Dow Jones Indices and the security markets of Mexico and Venezuela, and no cointegration with the stock markets of Argentina, Brazil, Chile, Colombia, and Peru.
Forecast for Stock Market Price Index Cointegration Analysis Application to U.S. and Japan
Cointegration of International Stock Markat Indices
Author: Victor K. Ng
Publisher:
ISBN:
Category :
Languages : en
Pages : 16
Book Description
In this paper, we derive evidence on the integration of international stock markets from the cointegration properties of international stock market prices. Using the multivariate cointegration test of Johansen, we find that the set of six country stock price indices, including that of the United States, Canada, the United Kingdom, France, Germany, and Japan are cointegrated. The results suggest that there are long-run equilibrium relationships among the stock market prices. Subsample and subgroup analyses also indicate that the cointegration relationships have become stronger over time. This is consistent with greater stock market integration amid the increasing liberalization and globalization of capital markets.
Publisher:
ISBN:
Category :
Languages : en
Pages : 16
Book Description
In this paper, we derive evidence on the integration of international stock markets from the cointegration properties of international stock market prices. Using the multivariate cointegration test of Johansen, we find that the set of six country stock price indices, including that of the United States, Canada, the United Kingdom, France, Germany, and Japan are cointegrated. The results suggest that there are long-run equilibrium relationships among the stock market prices. Subsample and subgroup analyses also indicate that the cointegration relationships have become stronger over time. This is consistent with greater stock market integration amid the increasing liberalization and globalization of capital markets.
Linkages Between the US and European Stock Markets
Author: Guglielmo Maria Caporale
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description