“An empirical investigation of the stock price dynamics between Athens, Istanbul and London
AbstractThe purpose of this article is to investigate the possibility of short and long term statistical relationships among the stock markets of Greece, Turkey and the U.K. ‘Causality’ tests provide a statistical framework of testing the extent of possible links among the above equity markets. Our results indicated the existence of long term dynamics which run from the bigger to the smaller markets i.e. Athens Stock Exchange is led by the markets of London and Turkey. The long run dynamics are observed only when the London Stock Exchange is included in the long run solution of the system, giving evidence that the factor which contributes to the integration of the international stock exchanges is international investors.
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Bibliographic InfoArticle provided by Camera di Commercio di Genova in its journal Economia Internazionale / International Economics.
Volume (Year): 60 (2007)
Issue (Month): 3 ()
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Informational Efficiency; Causality dynamics; Cointegration;
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- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
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