Varadi, Vijay Kumar and Boppana, Nagarjuna (2009): Are stock exchanges integrated in the world? - A critical Analysis.
Download (577kB) | Preview
In the recent rapid reforms made the global into a global village in nature and in terms of efficiency, transparency. The information flow in one market may affect the other markets in the world, because of its integration. In this regard, this paper explores the objective whether there is any integration of markets taken place or not. For reaching the objective, we have used rigorous time series techniques for the equal period of data (1st January, 2001 to 30th April, 2009) of 17 stock exchanges in the world, which includes Asia, Europe, north America, Latin America etc.,. Our findings are markets within the region are well integrated both in terms of short run and long run equilibrium, because of its less cross-country restrictions. Many of the markets are showing granger causal relations between each other.
|Item Type:||MPRA Paper|
|Original Title:||Are stock exchanges integrated in the world? - A critical Analysis|
|English Title:||Are stock exchanges integrated in the world? - A critical Analysis|
|Keywords:||Stock Markets, Cointegration, Economic Reforms|
|Subjects:||C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General
G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets
C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy
G - Financial Economics > G0 - General > G00 - General
|Depositing User:||Dr. Vijay Kumar Varadi|
|Date Deposited:||25. Jun 2009 00:13|
|Last Modified:||15. Feb 2013 19:51|
Bekaert G. and Harvey C.R. (1995): Time Varying World Market Integration: Journal of Finance. 50. pp 403-414.
Chowdhry, T, Lin Lu and Ke Peng (2007): “Common stochastic trends among Far astern stock prices: effects of Asian financial crisis”, International Review of Financial Analysis, vol 16.
Cournot, Augustin (1927): Researches into the Mathematical Principles of the Theory of Wealth, Nathaniel T Bacon (trans), Macmillan.
Hassan, M K and A Naka (1996): “Short-run and long-run dynamic linkages among international stock markets”, International Review of Economics and Finance, vol 5, no 1.
Kasa, K (1992): “Common stochastic trends in international stock markets”, Journal of Monetary Economics, vol 29, pp 95–124.
Kim, E Han and V Singhal (2000): “Stock market opening: experience of emerging economies”, Journal of Business, vol 73, pp 25–66.
Taylor, M P and I Tonks (1989): “The internationalization of stock markets and abolition of UK exchange control”, Review of Economics and Statistics, vol 71, pp 332–6.