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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 | : Anthony John Richards |
| Publisher | : International Monetary Fund |
| Total Pages | : 36 |
| Release | : 1996-04 |
| Genre | : Business & Economics |
| 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 “winner-loser” 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 | : 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 | : 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 | : 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 | : 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 | : 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 | : 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 | : Dr. Isha Rawal |
| Publisher | : |
| Total Pages | : |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
Download Impact of Natural Disasters on Cointegration and Diversification Book in PDF, ePub and Kindle
This study identifies the impact of three natural disasters on cointegrating relationship among selected world stock market indices. The study further suggests the best international diversification strategy in case of the occurrence of an extreme event from the perspective of an Indian investor. A vast amount of research suggests that international portfolio diversification helps to spread the risk of any adversity occurring in a particular country as the correlations among stocks in various countries are lower as compared to local securities. But the disagreement nevertheless is that in a number of instances, diversifying internationally might not be effective. To fill this research gap, the study employs Johansen multivariate cointegration test to evaluate change in the financial linkages between selected stock market indices during the pre- and post-one year event period for three events to include China Earthquake of 2008, Japan earthquake and tsunami of 2011 and the US Hurricane Sandy of 2012. The study further compares performance of different portfolio diversification strategies, viz., Naive 1/N portfolio construction technique, Markowitz modern portfolio theory and cointegration-based portfolio construction method with the aid of Sharpe's ratio. The study finds that with the help of cointegration analysis, effective portfolio selection can be done to seek maximum diversification benefit.
| Author | : Marie-Hélène Gagnon |
| Publisher | : |
| Total Pages | : 35 |
| Release | : 2016 |
| Genre | : |
| ISBN | : |
Download International Stock Market Cointegration Under the Risk-Neutral Measure Book in PDF, ePub and Kindle
This paper investigates international cointegration and financial integration among equity market indexes using index option data, providing an ex-ante analysis through investor anticipations. Daily time series of risk-neutral variance, skewness, and kurtosis are constructed for five major indexes for three sub-periods between 2003 and 2013. Fractionally cointegrated VAR models are estimated at the international level, accounting for persistence in risk-neutral moments. Our results show that there exist international equilibria in risk-neutral moments defined by several cointegrating vectors. During the 2007-2009 global crisis period, these equilibria are characterized by an increase in persistence and in the speeds of adjustment. Moreover, for risk-neutral variance and skewness, all markets are included in the equilibria and none are weakly exogenous. Outside the global crisis period, the cointegration relationship is more fragmented, especially for higher-order moments. In particular, crash and tail risks are segmented during the European debt crisis.
