Similar Search Results

Testing for convergence in stock markets: a non-linear factor approach

Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, … - 2009

This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the...

Persistent link: https://www.econbiz.de/10010274513

Testing for convergence in stock markets : a non-linear factor approach

Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, … - 2009

Persistent link: https://www.econbiz.de/10010274514

Domestic Market Integration

Virmani, Arvind; Mittal, Surabhi - 2006

The paper looks into the level of integration of commodity markets in India, across centres and states using consumer … price data. It measures the extent to which domestic markets for goods in India are integrated, and recommends policy … methodology proposed by Bradford and Lawrence (2004) on the consumer prices of goods in major states across India. This is then …

Persistent link: https://www.econbiz.de/10011807590

Relationship between Czech and European developed stock markets: DCC MV GARCH analysis

Princ, Michael - 2010

The study concentrates on an analysis of the Czech stock market performed by an application of DCC MV GARCH model of Engle (2002). Data sample including years from 1994 to 2009 is represented by daily returns of Prague Stock Exchange index and other 11 major stock indices. There is found an...

Persistent link: https://www.econbiz.de/10010322302

Liberalization and stock market co-movement between emerging economies

Beine, Michel; Candelon, Bertrand - 2007

In this paper, we investigate the impact of trade and financial liberalization on the degree of stock market co-movement among emerging economies. Using a sample of 25 developing countries observed over 15 years, we estimate the impact of reforms which aim at opening these countries to trade and...

Persistent link: https://www.econbiz.de/10010264238

Stock market integration between three CEECs, Russia and the UK

Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010

This paper estimates a tri-variate VAR-GARCH(1,1)-in-mean model to examine linkages between the stock markets of three Central and Eastern European countries (CEECs), specifically the Czech Republic, Hungary, and Poland, and both the UK and Russia. The adopted framework allows to analyse...

Persistent link: https://www.econbiz.de/10010270472

Are the Central European Stock Markets Still Different? A Cointegration Analysis

Rousova, Linda - 2009

The Central European countries became members of the European Union (EU) in May 2004. Has their accession into the EU also resulted in a stronger financial integration with the global economy in general and with the "old" EU countries in particular? Based on a cointegration analysis applied to...

Persistent link: https://www.econbiz.de/10010427556

Rethinking stock market integration: Globalization, valuation and convergence

Tam, Pui Sun; Tam, Pui I. - 2012

This paper aims to study the extent of integration among developed and emerging stock markets in the onset of globalization through the formulation of a unified conceptual framework that synthesizes the stock valuation model and the convergence hypothesis. Market integration manifests in the...

Persistent link: https://www.econbiz.de/10010318741

Business Cycle Fluctuations and International Financial Integration

Kizys, Renatas; Pierdzioch, Christian - 2004

Theoretical research on the determinants of business-cycle fluctuations implies that the degree of international financial integration can have important implications for the propagation of, e.g., macroeconomic policy shocks in an open economy. An important assumption underlying this research is...

Persistent link: https://www.econbiz.de/10010260476

Have bull and bear markets changed over time? Empirical evidence from the US-stock market

Grobys, Klaus - In: Journal of Finance and Investment Analysis 1 (2012) 1, pp. 151-171

This contribution analyzes bull and bear markets from 1954:1-2011:2 in the US-stock index S&P 500. Thereby, a 2-State-Markov-Switching model is applied to figure out bull and bear market regimes within the latter period, whereby the estimated state probabilities are used to estimate a dummy...

Persistent link: https://www.econbiz.de/10010286823

1
2
3
4
5
6
7
8
9
10
Next
Last