Are stock exchanges integrated in the world? - A critical Analysis
AbstractIn 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.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 15902.
Date of creation: May 2009
Date of revision:
Stock Markets; Cointegration; Economic Reforms;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G00 - Financial Economics - - General - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-07-03 (All new papers)
- NEP-FMK-2009-07-03 (Financial Markets)
- NEP-SEA-2009-07-03 (South East Asia)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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