Download or read book Cointegration of International Stock Market Indices written by Mr.Ray Yeu-Tien Chou and published by International Monetary Fund. This book was released on 1994-08-01 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Comovements in National Stock Market Returns written by Anthony John Richards and published by International Monetary Fund. This book was released on 1996-04 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Cointegration in International Stock Markets written by Jarkko Soikkeli and published by . This book was released on 2000 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book International Integration of Equity Markets and Contagion Effects written by Mr.Paul Cashin and published by International Monetary Fund. This book was released on 1995-11-01 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Cointegration of International Stock Markat Indices written by Victor K. Ng and published by . This book was released on 2006 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book A Note on Cointegration of International Stock Market Indices written by Thomas Dimpfl and published by . This book was released on 2016 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Testing for Cointegration Between International Stock Prices written by Niklas Ahlgren and published by . This book was released on 1998 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Cointegration of international stock market indices written by Fondo Monetario Internacional and published by . This book was released on 1994 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Financial Modeling of the Equity Market written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2006-03-31 with total page 673 pages. Available in PDF, EPUB and Kindle. Book excerpt: An inside look at modern approaches to modeling equity portfolios Financial Modeling of the Equity Market is the most comprehensive, up-to-date guide to modeling equity portfolios. The book is intended for a wide range of quantitative analysts, practitioners, and students of finance. Without sacrificing mathematical rigor, it presents arguments in a concise and clear style with a wealth of real-world examples and practical simulations. This book presents all the major approaches to single-period return analysis, including modeling, estimation, and optimization issues. It covers both static and dynamic factor analysis, regime shifts, long-run modeling, and cointegration. Estimation issues, including dimensionality reduction, Bayesian estimates, the Black-Litterman model, and random coefficient models, are also covered in depth. Important advances in transaction cost measurement and modeling, robust optimization, and recent developments in optimization with higher moments are also discussed. Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm, The Intertek Group. He is a member of the editorial board of the Journal of Portfolio Management. He is also the author of numerous articles and books on financial modeling. Petter N. Kolm, PhD (New Haven, CT and New York, NY), is a graduate student in finance at the Yale School of Management and a financial consultant in New York City. Previously, he worked in the Quantitative Strategies Group of Goldman Sachs Asset Management, where he developed quantitative investment models and strategies.
Download or read book A Cointegration Study of the Gains from International Portfolio Diversification Into Emerging Stock Markets written by Tim Bradshaw and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book International Stock Market Integration written by Xiao-Ming Li and published by . This book was released on 2002 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book International Stock Market Integration written by Xiaoming Li and published by . This book was released on 2007 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper employs newly developed techniques of nonlinear cointegration analysis to study international stock market integration. The stock price indexes of Australia, Japan, New Zealand, the United Kingdom and the United States are used in both linear and nonlinear cointegration tests on bivariate and various multivariate models. Much more evidence of market integration emerges from nonlinear cointegration analysis than linear analysis. It appears, therefore, that many of the conclusions reached in prior work that used traditional methodologies need to be reconsidered.
Download or read book Long Run Equilibrium Relationships in the International Stock Market Factor Systems written by Hyung-Suk Choi and published by . This book was released on 2015 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: The main objective of this paper is to investigate the international linkages among local, country-specific stock market factors in order to better understand the dependence structure of increasingly integrated world financial markets. The seeming discordance between Fama and French (1998) and Griffin (2002) regarding the multi-factor model in the international stock markets motivates us to study the international relationship among local factors. With the individual stock data from the six major developed countries in the international stock market, we compose daily returns to the Fama-French three factors (i.e. market, size, and value) and the momentum factor over the period from January 2000 to June 2010. We investigate the international linkages among local stock market factors, focusing on their equilibrium relationship in the integrated world financial market. The cointegration analysis indicates that local factor indices, constructed from the cumulative factor returns, are cointegrated for each of the four factor classes. Thus, we conclude that local factors are globally bound to each other through a long-run equilibrium relationship and that although stock market factors may be local, rather than global, individual stock returns are driven by common global stochastic trends.
Download or read book International Stock Market Cointegration Under the Risk Neutral Measure written by Marie-Hélène Gagnon and published by . This book was released on 2016 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Cointegration of Some Arab Stock Markets with Major Economic Indicators written by Nabil Wafic El-Meslmani and published by . This book was released on 2005 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent surge in oil prices has caused an extra liquidity in the Gulf region. Associated with a good investment appetite and good governmental reform plans, the stock market in MENA region and particularly in the GULF is passing through a period of exceptional returns. This study is trying to find whether some of th e Major Capital Markets in our region have long term relationship with some glob al economic indicators like oil prices, gold prices, S & P500, and Morgan Stanley Capital Index (MSCI). Such a relationship, if confirmed, could lead us to a care ful conclusion whether these markets are currently overpriced or under priced an d by how much they need to follow a corrective pattern in order to go back to th eir long term trend. To achieve our objective, cointegration tests are conducted on each of the selec ted Arabic stock markets with the determinants mentioned above. A single test in cluding every market with the four determinants is conducted, in addition to fou r bilateral tests including each market and one of the determinants. The results of the tests conveyed that KSA, Kuwait, Egypt, Oman and Tunis have l ong term relationship with Oil Prices whereas Morocco and Jordan do not. Tunis, Oman, and Egypt have long term relationship with Gold Prices whereas KSA, Kuwait, Jordan, and Morocco do not. KSA and Oman have long term relationship with S & P 500 whereas Kuwait, Jordan, Morocco, Egypt, and Tunis do not. KSA, Morocco, and Oman have long term relationship with MSCI whereas Kuwait, Jordan, Egypt, and Tu nis do not. In conclusion, the integration of some markets with oil prices make it a good investment opportunity for those who are bullish about oil prices, spe cially those market who are not yet integrated with international markets. On th e other hand, the lack of integration of some market with the international capi tal market could be considered as a sign that these markets still need more time to mature.
Download or read book International Diversification with Focus on Cointegration written by Inga Kudzmaite and published by LAP Lambert Academic Publishing. This book was released on 2012 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent globalization and integration of capital markets made international diversification more difficult for many investors and caused correlations between the securities to increase, especially during the times of adverse economic conditions. This paper argues that markets, which have cointegrating relationship and follow common trend in a long time horizon, cannot contribute much to portfolio diversification. Therefore, investors, who are willing to invest for long-term, should rather choose cointegration analysis instead of usual correlation approach for portfolio diversification purposes because the former is more appropriate for long-term. Thus, this paper took a perspective of Lithuanian investor and conducted cointegration analysis with 8 other country equity indices over a period 2000-2011 in order to find out which markets Vilnius OMX is cointegrated with. This paper should be useful to investors who seek to diversify internationally and look for a long-term perspective, and who are willing to go beyond the conventional portfolio diversification methods.
Download or read book Cointegration of Real Estate Stocks and Reits with Common Stocks Bonds and Consumer Price Inflation an International Comparison written by Peter Westerheide and published by . This book was released on 2008 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyses the performance of real estate securities and their relationship to other asset classes as well as to consumer price inflation in an international comparison over the period from 1990 to 2004. The analysis focuses on the long run relationships, applying three different cointegration tests. It covers the US, Canada, Australia, Japan, the Netherlands, Belgium, France and Germany. Results show that real estate securities in most countries had a high performance in nominal and real terms. The average performance over the whole period (1990-2004) has been particularly high in capital market oriented countries in the sample (US, Australia), and also in France. Real estate securities have outperformed bond markets on a risk adjusted basis only in the US and in Australia, while an outperformance of stock markets can be observed also in Japan and France. Particularly in the period 2001 to 2004 real estate security market have soared in most countries with the notable exception of Germany. In general, real estate securities seem to represent an asset class distinct from bonds and stocks in most countries. In the long run they seem provide a potential for further diversification of asset portfolios. Additionally, real estate stocks provide a (weak) hedge against consumer price inflation in almost every country.
