The dynamics of integration is studied in two time frames: short-term and long-term. The focus of this paper is to evaluate the short-term integration dynamics of stock exchanges of India (Bombay Stock Exchange – BSE) and China (Shanghai Stock Exchange – SSE) with US (S&P500) and Europe...

The dynamics of integration is studied in two time frames: short-term and long-term. The focus of this paper is to evaluate the short-term integration dynamics of stock exchanges of India (Bombay Stock Exchange – BSE) and China (Shanghai Stock Exchange – SSE) with US (S&P500) and Europe...

ARCH modelling framework of Engle (1982) and its GARCH generalization of Bollerslev (1986) gave a huge impetus to econometric model building in the field of financial time series with time-varying variance. The main idea of the models was to describe the most typical features of capital markets...

This study investigates the long-run relationships and short-run dynamic causal linkages between the stock exchange of Egypt and its counterparts in the Group of Seven (G7) countries, prior to and following the tragic events of September 2001, utilizing Johansen's cointegration and variance...

Periods of economic turmoil distort the ability of stock prices to reflect the available information. In the last three decades, emerging markets experienced numerous crises. The major three of them are the Asian Financial Crisis (1997-1998), Global Financial Crisis (2007-2009) and Global...

Introduction -- Market efficiency in emerging markets: evidence from africa and central european markets -- Market integration in developed and emerging markets -- Determinants of market integration in developed and emerging markets -- Market integration and causality in developed and emerging...