Author: Hwahsin Cheng
Publisher:
ISBN:
Category : Cointegration
Languages : en
Pages : 258
Book Description
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
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.
Cointegration and APT Tests for Equity Market Integration
International Integration of Equity Markets and Contagion Effects
Author: Mr.Paul Cashin
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 66
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:
Category : Business & Economics
Languages : en
Pages : 66
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.
Testing for Market Integration
Author: Paramsothy Silvapulle
Publisher:
ISBN: 9780858168572
Category : Prices
Languages : en
Pages : 16
Book Description
Publisher:
ISBN: 9780858168572
Category : Prices
Languages : en
Pages : 16
Book Description
The effects of regulatory changes on market integration
International Stock Market Integration
Author: Xiao-Ming Li
Publisher:
ISBN:
Category : Cointegration
Languages : en
Pages : 21
Book Description
Publisher:
ISBN:
Category : Cointegration
Languages : en
Pages : 21
Book Description
The Effect of Regulatory Changes on Market Integration
Equity Market Integration in the NAFTA Region
Author: Raj Aggarwal
Publisher:
ISBN:
Category :
Languages : en
Pages : 24
Book Description
This study examines integration of the three participating equity markets before and after the 1993 passage of NAFTA based on daily, weekly, and monthly data for seven years before and after the passage of NAFTA (1988-2001). As expected, unit root tests for the overall period 1988-2001 and the two sub-periods, 1988-1993 (pre-NAFTA) and 1994-2001 (post-NAFTA), indicate that stock prices are non-stationary but stock returns are generally stationary for all three markets for all three periods. However, daily, weekly, and monthly equity prices in the three NAFTA countries are cointegrated only for the post-NAFTA period. Similarly, US stock prices are more integrated with both Canadian and Mexican stock prices after the passage of NAFTA. This evidence of increased financial integration and co-movement in NAFTA equity markets after the passage of NAFTA has important implications for policy makers and managers.
Publisher:
ISBN:
Category :
Languages : en
Pages : 24
Book Description
This study examines integration of the three participating equity markets before and after the 1993 passage of NAFTA based on daily, weekly, and monthly data for seven years before and after the passage of NAFTA (1988-2001). As expected, unit root tests for the overall period 1988-2001 and the two sub-periods, 1988-1993 (pre-NAFTA) and 1994-2001 (post-NAFTA), indicate that stock prices are non-stationary but stock returns are generally stationary for all three markets for all three periods. However, daily, weekly, and monthly equity prices in the three NAFTA countries are cointegrated only for the post-NAFTA period. Similarly, US stock prices are more integrated with both Canadian and Mexican stock prices after the passage of NAFTA. This evidence of increased financial integration and co-movement in NAFTA equity markets after the passage of NAFTA has important implications for policy makers and managers.
Periodic Integration and Cointegration of U.S. Stock Prices, Dividends, and Interest Rates
Author: Hassan Shirwani
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
This paper presents a new test of the present value model of stock price determination, using some of the recent advances in the econometrics of seasonal time series. Unlike earlier studies which generally find stock prices, dividends, and interest rates to be characterized by standard nonseasonal unit roots, we find evidence of periodic seasonal integration in these variables. This means that the conventional cointegration tests may not be robust. Using a more appropriate periodic cointegration test, our results nevertheless fail to support the present value model, thus reinforcing the case against the efficient market hypothesis.
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
This paper presents a new test of the present value model of stock price determination, using some of the recent advances in the econometrics of seasonal time series. Unlike earlier studies which generally find stock prices, dividends, and interest rates to be characterized by standard nonseasonal unit roots, we find evidence of periodic seasonal integration in these variables. This means that the conventional cointegration tests may not be robust. Using a more appropriate periodic cointegration test, our results nevertheless fail to support the present value model, thus reinforcing the case against the efficient market hypothesis.