An Analysis Of The Cointegration Of United States Stock Market Indices PDF Download
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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 | : 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 | : Rene Sanchez Valle |
Publisher | : |
Total Pages | : 15 |
Release | : 1998 |
Genre | : |
ISBN | : |
Download A Cointegration Analysis of Latin American Stock Markets and the U.S. Book in PDF, ePub and Kindle
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.
Author | : Mr.Paul Cashin |
Publisher | : International Monetary Fund |
Total Pages | : 58 |
Release | : 1995-11-01 |
Genre | : Business & Economics |
ISBN | : 1451853289 |
Download International Integration of Equity Markets and Contagion Effects Book in PDF, ePub and Kindle
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.
Author | : Hwahsin Cheng |
Publisher | : |
Total Pages | : 258 |
Release | : 2000 |
Genre | : Cointegration |
ISBN | : |
Download Cointegration Test for Equity Market Integration Book in PDF, ePub and Kindle
Author | : Eva R. Porras |
Publisher | : |
Total Pages | : 32 |
Release | : 2014 |
Genre | : |
ISBN | : |
Download A Test of Cointegration between Security Markets of Latin American Nations, the NYSE and the Dow Jones Indices Book in PDF, ePub and Kindle
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.
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 | : C. Ansotegui |
Publisher | : |
Total Pages | : 13 |
Release | : 1992 |
Genre | : |
ISBN | : |
Download Forecast for Stock Market Price Index Cointegration Analysis Application to U.S. and Japan Book in PDF, ePub and Kindle
Author | : Guglielmo Maria Caporale |
Publisher | : |
Total Pages | : |
Release | : 2015 |
Genre | : |
ISBN | : |
Download Linkages Between the US and European Stock Markets Book in PDF, ePub and Kindle
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.