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1 edition of Cointegration of international stock market indices. found in the catalog.

Cointegration of international stock market indices.

Cointegration of international stock market indices.

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Published by International Monetary Fund in Washington, D.C .
Written in English


Edition Notes

Includes bibliographical references.

SeriesIMF working paper -- WP/94/94
ContributionsInternational Monetary Fund.
The Physical Object
Pagination12 p. ;
Number of Pages12
ID Numbers
Open LibraryOL16339206M

international integration of national stock markets across several developed and emerging the growing linkage of the Indian market with global and major regional markets in Asia during the reform period beginning in the early s.3 Illustratively, the evidence of cointegration among national stock indices . The likelihood ratio test has been applied is to test for cointegration between international stock markets (Ahlgren and Antell, , and Kasa, ). Based on the likelihood ratio test most.

What is Stock Market Cointegration? Definition of Stock Market Cointegration: If two or more stock market time series are cointegrated, they must share a common stochastic drift in the long-run, . Since the cointegration tests capture the long-run equilibrium relations between two stock market indices that are cannot deviate too far away from each other in the long term, the dynamic cointegration between pairs of stock .

Keywords: cointegration, index tracking, market neutral strategy, portfolio optimisation, vector autoregression models. *** CIBEF – Centre for International Banking, Economics and Finance, JMU, particularly since the end of the stock market . This paper explores the international linkages of the Indonesian capital market using cointegration tests to examine the long-run equilibrium relationship between the stock markets of Indonesia with .


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Cointegration of international stock market indices Download PDF EPUB FB2

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 there are one to three cointegrating vectors in the set of six country stock price indices.

Cointegration of International Stock Market Indices: IMF Working Paper: Cointegration of International Stock Market Indices: 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. Cointegration of International Stock Market Indices In this paper, we derive evidence on the integration of international stock markets from the cointegration properties of international stock market prices.

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. finding cointegration across the various international stock markets.

In this basic model, one regresses the stock market index price of one country against that of the other. If the residuals obtained from. A note on cointegration of international stock market indices Thomas Dimp September 9, Abstract Cointegration is frequently used to assess the degree of interdependence of nancial mar-kets.

We show that if stock prices are generated by random walks, indices Cited by: 8. This paper investigates the cointegration relationship among a group of international stock indices in light of new developments of econometric methods.

Kasa () first documented strong evidence for cointegration relations among five national stock indices, which suggests that there exists a common trend among those stock indices.

Using Johansen multivariate cointegration Cited by: 6. Symbol Company Country Last Date Time Chg. % Chg. SPX: S&P Index: United States: 3, 5/27/ PM + +%.

Overview of the world`s largest and most important stock market indices on a world map. NYSE International USA 4, 4, %. widely known market indices in the world.

In the Sri Lankan context the well known indices would be the ASPI, MPI and MBSL Midcap index. For investors, indices give the direction of the entire market.

They use indices to track the performance of the stock market. Ideally, a change in the price of an index. A Note on Cointegration of International Stock Market Indices International Review of Financial Analysis, Vol.

33, 26 Pages Posted: 15 Dec Last revised: 9 Jan Cited by: 8. The fact that cointegration among stock market indices is a delicate issue has first been addressed by Richards (). He relies on the Capital Asset Pricing Model (CAPM) for stock prices and shows that indices, constructed as weighted averages of stock prices in a country, cannot be by: 8.

Cointegration is frequently used to assess the degree of interdependence of financial markets. We show that if a stock's price follows a stock specific random walk, market indices cannot be cointegrated.

Indices are a mere combination of n different random walks which itself is non-stationary by construction. We substantiate the theoretical propositions using a sample of 28 stock indices Cited by: 8. Abstract: 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 by: 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 Cited by: Cointegration and Causality in International Stock Markets A study of long-run stochastic trends in Oil & Gas and Financials indices Andreas Hellstrand♂ Eugenia Korobova♀ Abstract As economies around the world grow and become more integrated, it is interesting to investigate how stock.

It showed that there were cointegration between S & P index and Britain’s FTSE index, the Nikkei index independently, while there was no cointegration between S & P Index and the Hang Seng Index in Hong Kong. This conclusion was in line with international Author: Dali Zhao.

We show that if a stock's price follows a stock specific random walk, market indices cannot be cointegrated. Indices are a mere combination of n different random walks which itself is non Author: Thomas Dimpfl. The analysis of stock market linkages improved with further methodological achieve-ments.

Gregory and Hansen () developed a residual-based test for cointegration when a single structural break is present in the data. Applications of this method on the issue of stock market cointegration. Globalization, technological advancements and financial liberalization have made it possible for stock markets in different countries to interact and affect and/or influence each other both in the short-run and in the long-run.

This study uses the Dickey-Fuller, Engle-Granger method and the Johansen method to test for cointegration using a pair wise analysis between the stock .This paper investigates the cointegration properties of major capital markets indices during the September, / August, episode of the financial and banking crises originated in U.S markets.

Based on daily closing prices of international stock markets indices, the analysis shows that three set of indices .The DAX (Deutscher Aktien IndeX,) is a blue chip stock market index consisting of the 30 major German companies trading on the Frankfurt Stock ATHEX Composite Index is the most commonly followed index in Greece and is a market capitalization-based index that tracks.

Analyzing cointegration and international.