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The International Integration of the Eastern Europe and two Middle East Stock Markets

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  • José Soares da Fonseca

    ()
    (Faculty of Economics University of Coimbra and GEMF, Portugal)

Abstract

This article studies the international integration of twelve Eastern Europe Stock Markets and two Middle East Stock Markets. It is commonly accepted that the returns in these markets have a low correlation with the other markets, which means that they are still weakly integrated in the world financial market. This assumption is the object of the empirical analysis in the present article, in which the co-integration of each of these national stock markets with the international market is estimated. Co-integration is a well adapted methodology to study the international integration of stock markets, since it puts in evidence, simultaneously, the long-term relation between the stock prices of a domestic market and those representing the international market and the short-term relation between the changes in those prices. The results obtained show that, in general, these stock markets are co-integrated with one or more international indexes.

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Bibliographic Info

Paper provided by GEMF - Faculdade de Economia, Universidade de Coimbra in its series GEMF Working Papers with number 2013-01.

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Length: 21 pages
Date of creation: Dec 2012
Date of revision:
Handle: RePEc:gmf:wpaper:2013-01.

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Keywords: financial integration; stock markets; structure breaks.;

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  1. Jos 0053oares da Fonseca, 2008. "The Co-integration of European Stock Markets after the Launch of the Euro," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 55(3), pages 309-324, September.
  2. Gregory, Allan W. & Hansen, Bruce E., 1996. "Residual-based tests for cointegration in models with regime shifts," Journal of Econometrics, Elsevier, Elsevier, vol. 70(1), pages 99-126, January.
  3. Richards, Anthony J., 1995. "Comovements in national stock market returns: Evidence of predictability, but not cointegration," Journal of Monetary Economics, Elsevier, Elsevier, vol. 36(3), pages 631-654, December.
  4. Kasa, Kenneth, 1992. "Common stochastic trends in international stock markets," Journal of Monetary Economics, Elsevier, Elsevier, vol. 29(1), pages 95-124, February.
  5. Arshanapalli, Bala & Doukas, John, 1993. "International stock market linkages: Evidence from the pre- and post-October 1987 period," Journal of Banking & Finance, Elsevier, Elsevier, vol. 17(1), pages 193-208, February.
  6. Rangvid, Jesper, 2001. "Increasing convergence among European stock markets?: A recursive common stochastic trends analysis," Economics Letters, Elsevier, Elsevier, vol. 71(3), pages 383-389, June.
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