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Author | : Mr.Ray Yeu-Tien Chou |
Publisher | : International Monetary Fund |
Total Pages | : 16 |
Release | : 1994-08-01 |
Genre | : Business & Economics |
ISBN | : 1451950705 |
Download Cointegration of International Stock Market Indices Book in PDF, ePub and Kindle
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.
Author | : Thomas Dimpfl |
Publisher | : |
Total Pages | : 26 |
Release | : 2016 |
Genre | : |
ISBN | : |
Download A Note on Cointegration of International Stock Market Indices Book in PDF, ePub and Kindle
Cointegration has frequently been used in the financial econometrics literature to assess the degree of interdependence of financial markets. We show that if individual stock prices are generated by random walks with possibly contemporaneously correlated innovations, the resulting indices cannot be cointegrated as they are a combination of n random walks which itself is non-stationary by construction. This result holds if (as in factor models) an additional common global or local random walk is allowed for. There will, however, never be less than n random walk components, as otherwise company specific characteristics would be ruled out to affect the stock price permanently. To substantiate the theoretical propositions we simulate stock prices (allowing for heteroscedasticity, correlated innovations and common factors), construct indices and test whether these indices are cointegrated. We show that while heteroscedasticity alone is able to mislead cointegration tests, it is not sufficient to explain at the same time the empirically found high correlation between stock market indices. A common stochastic factor as well as correlated price innovations are necessary to reproduce the empirical characteristic features. We conclude that cointegration is not a suitable method to analyze stock market interdependence.
Author | : Fondo Monetario Internacional |
Publisher | : |
Total Pages | : 12 |
Release | : 1994 |
Genre | : |
ISBN | : |
Download Cointegration of international stock market indices Book in PDF, ePub and Kindle
Author | : Victor K. Ng |
Publisher | : |
Total Pages | : 16 |
Release | : 2006 |
Genre | : |
ISBN | : |
Download Cointegration of International Stock Markat Indices Book in PDF, ePub and Kindle
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.
Author | : Brian J. Geiger |
Publisher | : |
Total Pages | : 60 |
Release | : 2001 |
Genre | : Investment analysis |
ISBN | : |
Download An Analysis of the Cointegration of United States Stock Market Indices Book in PDF, ePub and Kindle
Author | : Anthony J. Richards |
Publisher | : |
Total Pages | : 30 |
Release | : 2006 |
Genre | : |
ISBN | : |
Download Comovements in National Stock Market Returns Book in PDF, ePub and Kindle
This paper is a response to the literature that tests for cointegration between national stock market indices. It argues that apparent findings of cointegration in other studies may often be due to the use of asymptotic, rather than small-sample, critical values. In fact, economic theory suggests that cointegration is unlikely to be observed in efficient markets. However, this paper finds some evidence for the long-horizon predictability of relative returns, and the existence of quot;winner-loserquot; reversals across 16 national equity markets. A conclusion is that national stock market indices include a common world component and two country-specific components, one permanent and one transitory.
Author | : Sarkis J. Khoury |
Publisher | : North Holland |
Total Pages | : 524 |
Release | : 1991-01-01 |
Genre | : Banks and banking |
ISBN | : 9780444886262 |
Download Recent Developments in International Banking and Finance Book in PDF, ePub and Kindle
This book contains theoretical and applied papers dealing with issues at the cutting edge of international banking and finance. Some of these papers were presented at the fifth symposium on International Banking and Finance held in Baden Baden, Germany, April 1990, organized by The Foundation for Research in International Banking and Finance (FBRIF). The symposium was decidedly focused on Eastern Europe and Western Europe after 1991 and represented a balance between academic and nonacademic presentations. In addition to these lectures, more papers within this scope are published in the book. The book constitutes excellent material for academic or advanced training courses in international banking and finance. It can be used as a source of authoritative information on the frontiers of international banking research.
Author | : Samuel Karlin |
Publisher | : Academic Press |
Total Pages | : 591 |
Release | : 2014-05-10 |
Genre | : Business & Economics |
ISBN | : 1483268039 |
Download Studies in Econometrics, Time Series, and Multivariate Statistics Book in PDF, ePub and Kindle
Studies in Econometrics, Time Series, and Multivariate Statistics covers the theoretical and practical aspects of econometrics, social sciences, time series, and multivariate statistics. This book is organized into three parts encompassing 28 chapters. Part I contains studies on logit model, normal discriminant analysis, maximum likelihood estimation, abnormal selection bias, and regression analysis with a categorized explanatory variable. This part also deals with prediction-based tests for misspecification in nonlinear simultaneous systems and the identification in models with autoregressive errors. Part II highlights studies in time series, including time series analysis of error-correction models, time series model identification, linear random fields, segmentation of time series, and some basic asymptotic theory for linear processes in time series analysis. Part III contains papers on optimality properties in discrete multivariate analysis, Anderson’s probability inequality, and asymptotic distributions of test statistics. This part also presents the comparison of measures, multivariate majorization, and of experiments for some multivariate normal situations. Studies on Bayes procedures for combining independent F tests and the limit theorems on high dimensional spheres and Stiefel manifolds are included. This book will prove useful to statisticians, mathematicians, and advance mathematics students.
Author | : Maurice Obstfeld |
Publisher | : Cambridge University Press |
Total Pages | : 386 |
Release | : 2004 |
Genre | : Business & Economics |
ISBN | : 9780521671798 |
Download Global Capital Markets Book in PDF, ePub and Kindle
This book is an economic survey of international capital mobility from the late nineteenth century to the present.
Author | : Clive William John Granger |
Publisher | : |
Total Pages | : 346 |
Release | : 1970 |
Genre | : Random walks (Mathematics). |
ISBN | : |
Download Predictability of Stock Market Prices Book in PDF, ePub and Kindle