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Capital markets integration and cointegration : testing for the correct specification of stock market indices

Agoraki, Maria-Eleni K.; Georgoutsos, Demetris A.; … - In: Journal of risk and financial management : JRFM 12 (2019) 4/186, pp. 1-20

capital integration with cointegration techniques. This approach minimizes the risk of accepting the null of no cointegration … provide partial support in favor of cointegration, and therefore for capital markets integration, among stock market indices … when proper attention is given to issues like the identification and temporal stability of the cointegration vectors as …

Persistent link: https://www.econbiz.de/10012171036

Liberalization and Stock Market Co-Movement between Emerging Economies

Beine, Michel; Candelon, Bertrand - 2021

In this paper, we investigate the impact of trade and financial liberalization on the degree of stock market co-movement among emerging economies. Using a sample of 25 developing countries observed over 15 years, we estimate the impact of reforms which aim at opening these countries to trade and...

Persistent link: https://www.econbiz.de/10013316796

Dynamic linkages among developed, emerging and frontier equity markets of Europe

Thomas, Nisha Mary; Kashiramka, Smita; Yadav, Surendra S. - In: Journal of financial management and analysis : … 29 (2016) 2, pp. 51-66

Persistent link: https://www.econbiz.de/10011686830

International linkages of emerging market index futures, under the closure of underlying spot market : evidence from Indian Nifty futures

Sundararajan, Sivakumar; Balasubramanian, Senthil Arasu - In: Managerial finance 49 (2023) 3, pp. 577-593

Persistent link: https://www.econbiz.de/10014227233

The evolution of financial integration on selected European stock markets : a dynamic principal component approach

Majewska, Elżbieta; Olbryś, Joanna - In: Comparative economic research : Central and Eastern Europe 20 (2017) 4, pp. 45-63

The goal of this paper is to recognize the dynamics of financial integration across the European stock markets over the last two decades. We investigate two groups of markets: (1) three developed European markets in the U.K., France, and Germany; and (2) three emerging Central and Eastern...

Persistent link: https://www.econbiz.de/10011877162

International Stock Market Interdependence : Are Developing Markets the Same As Developed Markets?

Liu, Lu - 2014

This paper uses a dynamic panel-data gravity model to explain the correlations between 40 markets from 1996 to 2010 using four types of market linkages: information capacity, financial integration, economic integration, and similarity in industrial structure. The mechanism of interdependence of...

Persistent link: https://www.econbiz.de/10013053900

Econometric analysis of integration of selected new eu member cee stock markets with global stock market and eurozone : impact of global financial crisis

Sucháček, Jan; Koutský, Jaroslav; Caridad y López … - In: Amfiteatru economic : an economic and business research … 23 (2021) 58, pp. 824-842

spectrum of econometric tools (cointegration, VAR model, Granger causality, variance decomposition) and comparison of changes …

Persistent link: https://www.econbiz.de/10012939609

Swedish Financial Sector Integration with Baltic Stock Markets - A Cointegration Approach

Kazukauskas, Paulius - 2014

countries and Swedish financial sector over the sample period 2000-2011. Johansen method of multivariate cointegration is …

Persistent link: https://www.econbiz.de/10013066417

Are the Central European stock markets still different? : a cointegration analysis

Rousová, Lina - 2009

particular? Based on a cointegration analysis applied to stock market movements, I detect for the period after the EU enlargement …

Persistent link: https://www.econbiz.de/10003951768

A Spatial Analysis of International Stock Market Linkages

Asgharian, Hossein - 2015

We employ spatial econometrics techniques to investigate to what extent countries' economic and geographical relations affect their stock market co-movements. Among the relations that we analyze, bilateral trade proves to be best suited to capture co-variations in returns. We find a strong...

Persistent link: https://www.econbiz.de/10013038173