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 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 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 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 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 Comovements in National Stock Market Returns written by Anthony J. Richards and published by . This book was released on 2006 with total page 30 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 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.

Download or read book An Analysis of the Cointegration of United States Stock Market Indices written by Brian J. Geiger and published by . This book was released on 2001 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Impact of Natural Disasters on Cointegration and Diversification written by Dr. Isha Rawal and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

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 Long Term Trends and Short Run Dynamics in International Stock Markets written by Sotiris K. Staikouras and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of the present study is to examine the behaviour and interaction of international stock markets. The validity of an earnings based valuation model is assessed using data from seventeen developed countries around the world over the last sixteen years. The estimation process employed involves a two-step Engel-Granger procedure where cointegrating relationships between market indices and their fundamentals are analysed. Cointegration appears mainly in large markets, while the presence of an error correction representation implies the existence of the reversion force towards the fair value obtained from the cointegrating regression. Further, the error correction model, enriched with other variables identified in previous research, seems to capture the short-run dynamics quite well. The coefficients of the variables in both the cointegrating regression and the error correction representation have the correct signs and are consistent in size. Granger causality tests do not particularly support the hypothesis that smaller markets are being influenced by external factors, since causality seems to run both from large to small markets and vice versa.

Download or read book A Test of Cointegration between Security Markets of Latin American Nations the NYSE and the Dow Jones Indices written by Eva R. Porras and published by . This book was released on 2014 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

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 Cointegrating Relationships Between Stock Market Indices and Economic Activity written by David G. McMillan and published by . This book was released on 2001 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Linkages Between the US and European Stock Markets written by Guglielmo Maria Caporale and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Dynamic Cointegrations Among European Stockmarkets written by Spyros Papathanasiou and published by . This book was released on 2014 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: The main objective of this paper is to examine the existence of cointegration and causality among the major European stock market indices, like the CAC40 (France), the DAX30 (Germany), the SMI (Switzerland), the FTSE100 (England) and the General Index (Greece). The empirical proof of such an existence, would indicate that the movements of one or more indices play a major role in the European StockMarket causing in a bigger or smaller way parallel moves to the other indices. Through this examination of such relationships among the European Indices, the efficient market hypothesis is also being checked. Probable signs of cointegration among the stock markets will indicate that the bibliography references about the advantages of international diversification are exaggerated. In addition it will show that the selection of an optimum global portfolio is not an easy task and it needs careful consideration.

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.