Author: Paramsothy SilvapullePublisher:
ISBN: 9780858168572
Category : Prices
Languages : en
Pages : 16
Book Description
Testing for Market Integration
Author: Paramsothy SilvapullePublisher:
ISBN: 9780858168572
Category : Prices
Languages : en
Pages : 16
Book Description
Cointegration in Testing Market Integration
Author: Anne ToppinenPublisher:
ISBN: 9789518950670
Category :
Languages : en
Pages : 22
Book Description
Tiivistelmä: Yhteisintegroituvuus markkinoiden yhtenevyyden testauksessa : Suomen raakapuumarkkinoiden empiirinen analyysi.
Cointegration Test for Equity Market Integration
Author: Hwahsin ChengPublisher:
ISBN:
Category : Cointegration
Languages : en
Pages : 258
Book Description
Cointegration and APT Tests for Equity Market Integration
Author: Terrance GriebCointegration of International Stock Market Indices
Author: Mr.Ray Yeu-Tien ChouPublisher: 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.
Market Integration, Localized Tastes, Culture, Cointegration Analysisculture, Tastes, and Market Integration
Author: Cecilia GuerreroInternational Stock Market Integration
Author: Xiaoming LiPublisher:
ISBN:
Category :
Languages : en
Pages : 23
Book Description
This paper employs newly developed techniques of nonlinear cointegration analysis to study international stock market integration. The stock price indexes of Australia, Japan, New Zealand, the United Kingdom and the United States are used in both linear and nonlinear cointegration tests on bivariate and various multivariate models. Much more evidence of market integration emerges from nonlinear cointegration analysis than linear analysis. It appears, therefore, that many of the conclusions reached in prior work that used traditional methodologies need to be reconsidered.
International Integration of Equity Markets and Contagion Effects
Author: Mr.Paul CashinPublisher: 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.
The effects of regulatory changes on market integration
Author: Surya ChelikaniInternational Stock Market Integration
Author: Xiao-Ming LiPublisher:
ISBN:
Category : Cointegration
Languages : en
Pages : 21
Book Description