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Are American And French Stock Markets Integrated?

Author

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  • Fredj Jawadi
  • Mohamed El Hédi Arouri

Abstract

Within a nonlinear framework, this article studies the market integration hypothesis between the French and American stock markets, on a short- and long-term basis. We use two nonlinear Error Correction Models (ECM): the Exponential Switching Transition ECM (ESTECM) and the nonlinear ECM-Rational Polynomial (NECM-RP). Our results provide strong evidence of integration between French and American stock markets. They show that the stock market integration process is non-linear and timevarying and that it has strengthened over time.

Suggested Citation

  • Fredj Jawadi & Mohamed El Hédi Arouri, 2008. "Are American And French Stock Markets Integrated?," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 2(2), pages 107-116.
  • Handle: RePEc:ibf:ijbfre:v:2:y:2008:i:2:p:107-116
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    References listed on IDEAS

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    1. repec:srs:jasf00:v:8:y:2017:i:2:p:146-159 is not listed on IDEAS
    2. repec:kap:empiri:v:45:y:2018:i:4:d:10.1007_s10663-017-9386-2 is not listed on IDEAS
    3. repec:lje:journl:v:22:y:2017:i:2:p:89-116 is not listed on IDEAS
    4. Shafiu ABDULLAHI, 2017. "Stock Market Linkage Financial Contagion and Assets Price Movements Evidence from Nigerian Stock Exchange," Journal of Advanced Studies in Finance, ASERS Publishing, vol. 8(2), pages 146-159.
    5. Anil Sharma & Neha Seth, 2012. "Literature review of stock market integration: a global perspective," Qualitative Research in Financial Markets, Emerald Group Publishing, vol. 4(1), pages 84-122, April.

    More about this item

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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