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What Drives Stock Exchange Integration?

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  • Ekaterina Dorodnykh

    ()
    (University of Rome Tor Vergata, Department of Economics and Finance (DEF), via Columbia, 2, 00133, Rome Italy)

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    Abstract

    This paper contains an empirical analysis of determinants of international integration projects over the time period 1995-2010. After a broad discussion of the existent literature, the investigation combines a large number of potentially relevant determinants for the explanation of whether stock exchanges are participating in formal integration projects. Using the weekly data of stock market returns, correlation and cluster analysis investigate a measure of integration among stock markets. Johansen cointegration test estimates the presence of multilateral long run equilibrium relationship among integrated stock exchanges. Finally, multivariable logit regression with three-year lagged dependent variable is applied and interpreted. A number of signi ficant variables are identified as determining the existence of de jure stock market integration projects.

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    Bibliographic Info

    Article provided by Technological Educational Institute (TEI) of Kavala, Greece in its journal International Journal of Economic Sciences and Applied Research (IJESAR).

    Volume (Year): 6 (2013)
    Issue (Month): 2 (September)
    Pages: 47-79

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    Handle: RePEc:tei:journl:v:6:y:2013:i:2:p:47-79

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    Related research

    Keywords: stock market integration; Johansen cointegration test; logit;

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    References

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