IDEAS home Printed from https://ideas.repec.org/a/ibf/ijbfre/v11y2017i2p93-104.html
   My bibliography  Save this article

U.S. And Costa Rica Stock Market Cointegration

Author

Listed:
  • Jed Baker

Abstract

This paper tests the stationarity and cointegration of the historical daily data on the S&P 500 and the Costa Rican Bolsa Nacional de Valores (BNV). Both the Engle-Granger and Johansen Cointegration Tests are used to estimate this relationship. Results suggest that S&P 500 data and BNV are cointegrated although causal indicators between the two methods are contradictory. Specifically, the Granger Causality test suggests the S&P 500 is causal of BNV movement, while the coefficients in the error corrected model of the Johansen test are insignificant between S&P lags and BNV movement

Suggested Citation

  • Jed Baker, 2017. "U.S. And Costa Rica Stock Market Cointegration," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 11(2), pages 93-104.
    • Handle: RePEc:ibf:ijbfre:v:11:y:2017:i:2:p:93-104
    as

    Download full text from publisher

    File URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v11n2-2017/IJBFR-V11N2-2017-8.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    International Financial Markets; Financial Market Cointegration;

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ibf:ijbfre:v:11:y:2017:i:2:p:93-104. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mercedes Jalbert (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.