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Time Series Decomposition As A Method Of Measuring Capital Markets Convergence

Author

Listed:
  • Rafal Zukowski

    (Collegium of Management and Finance, Warsaw School of Economics)

Abstract

The aim of the article is to present time series decomposition as a method of measuring capital markets convergence. As an example, convergence of two different sets of markets are measured using this methodology. On the basis of this research, it has been established that time series decomposition of the market indices can prove or reject a hypothesis of moving indices in similar directions over a period of time.

Suggested Citation

  • Rafal Zukowski, 2020. "Time Series Decomposition As A Method Of Measuring Capital Markets Convergence," OLSZTYN ECONOMIC JOURNAL, University of Warmia and Mazury in Olsztyn, Faculty of Economic Sciences, vol. 15(2), pages 155-164, August.
    • Handle: RePEc:ole:journl:v:15:y:2020:i:2:p:155-164
    DOI: https://doi.org/10.31648/oej.5838
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    More about this item

    Keywords

    time series analysis; international capital markets; markets convergence;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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