IDEAS home Printed from https://ideas.repec.org/a/tcb/cebare/v7y2007i1p1-12.html
   My bibliography  Save this article

Testing Integration between the Major Emerging Markets

Author

Listed:
  • Pinar Evrim Mandaci
  • Erdost Torun

Abstract

This study examines the stock market integration between major emerging markets in different regions of the world, namely, Turkey, Russia, Brazil, Korea, South Africa, and Poland. The study employs a variety of co-integration tests; i.e., Engle-Granger (EG) (1987), Johansen (1988), Johansen and Juselius (1990), the Bounds test (Pesaran et al) (2001) to measure the long-term relationship, and Granger causality approach for the short-term relationship between those markets. The results unfolded that between Brazil and Polish markets long and short-term relationship could be diagnosed through the aforementioned tests save the Bounds test; whilst the same Bounds test confirmed the existence of a significant co-integration between Russian and Korean stock markets.

Suggested Citation

  • Pinar Evrim Mandaci & Erdost Torun, 2007. "Testing Integration between the Major Emerging Markets," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 7(1), pages 1-12.
    • Handle: RePEc:tcb:cebare:v:7:y:2007:i:1:p:1-12
    as

    Download full text from publisher

    File URL: http://www.tcmb.gov.tr/wps/wcm/connect/EN/TCMB+EN/Main+Menu/Publications/Central+Bank+Review/2007/Volume+7-1/
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
    2. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    3. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    4. Voronkova, Svitlana, 2004. "Equity market integration in Central European emerging markets: A cointegration analysis with shifting regimes," International Review of Financial Analysis, Elsevier, vol. 13(5), pages 633-647.
    5. M. Hashem Pesaran & Yongcheol Shin & Richard J. Smith, 2001. "Bounds testing approaches to the analysis of level relationships," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 289-326.
    6. Syriopoulos, Theodore, 2007. "Dynamic linkages between emerging European and developed stock markets: Has the EMU any impact?," International Review of Financial Analysis, Elsevier, vol. 16(1), pages 41-60.
    7. Yang, Jian & Kolari, James W. & Sutanto, Peter Wibawa, 2004. "On the stability of long-run relationships between emerging and US stock markets," Journal of Multinational Financial Management, Elsevier, vol. 14(3), pages 233-248, July.
    8. Ratanapakorn, Orawan & Sharma, Subhash C., 2002. "Interrelationships among regional stock indices," Review of Financial Economics, Elsevier, vol. 11(2), pages 91-108.
    9. James G. MacKinnon, 1990. "Critical Values for Cointegration Tests," Working Paper 1227, Economics Department, Queen's University.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Korkmaz, Turhan & Çevik, Emrah İ. & Atukeren, Erdal, 2012. "Return and volatility spillovers among CIVETS stock markets," Emerging Markets Review, Elsevier, vol. 13(2), pages 230-252.
    2. Pinar Evrim-Mandaci & Hakan Kahyaoglu & Efe Caglar Cagli, 2011. "Stock and bond market interactions with two regime shifts: evidence from Turkey," Applied Financial Economics, Taylor & Francis Journals, vol. 21(18), pages 1355-1368.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Hassouneh, Islam & Couleau, Anabelle & Serra, Teresa & Al-Sharif, Iqbal, 2018. "The effect of conflict on Palestine, Israel, and Jordan stock markets," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 258-266.
    2. repec:kap:iaecre:v:17:y:2011:i:2:p:157-168 is not listed on IDEAS
    3. Levent KORAP, 2008. "Exchange Rate Determination Of Tl/Us$:A Co-Integration Approach," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, vol. 7(1), pages 24-50, May.
    4. Diamandis, Panayiotis F., 2009. "International stock market linkages: Evidence from Latin America," Global Finance Journal, Elsevier, vol. 20(1), pages 13-30.
    5. Jude Okechukwu Chukwu, 2013. "Budget Deficits, Money Growth and Price Level in Nigeria," African Development Review, African Development Bank, vol. 25(4), pages 468-477, December.
    6. Halil Alt ntas & Melike Kum, 2013. "Multivariate Granger Causality between Electricity Generation, Exports, Prices and Economic Growth in Turkey," International Journal of Energy Economics and Policy, Econjournals, vol. 3(Special), pages 41-51.
    7. Kanas, Angelos, 1997. "Is economic exposure asymmetric between long-run depreciations and appreciations? Testing using cointegration analysis," Journal of Multinational Financial Management, Elsevier, vol. 7(1), pages 27-42, April.
    8. González-Gómez, Manuel & Álvarez-Díaz, Marcos & Otero-Giráldez, María Soledad, 2013. "Estimating the long-run impact of forest fires on the eucalyptus timber supply in Galicia, Spain," Journal of Forest Economics, Elsevier, vol. 19(2), pages 149-161.
    9. Tsangyao Chang & WentRong Liu & Michael Thompson, 2002. "The Viability of Fiscal Policy in South Korea, Taiwan, and Thailand," International Center for Public Policy Working Paper Series, at AYSPS, GSU paper0209, International Center for Public Policy, Andrew Young School of Policy Studies, Georgia State University.
    10. Nafeesa Yunus & Peggy Swanson, 2007. "Modelling Linkages between US and Asia‐Pacific Securitized Property Markets," Journal of Property Research, Taylor & Francis Journals, vol. 24(2), pages 95-122.
    11. Garg, Reetika & Dua, Pami, 2014. "Foreign Portfolio Investment Flows to India: Determinants and Analysis," World Development, Elsevier, vol. 59(C), pages 16-28.
    12. Bulut, Umit & Muratoglu, Gonul, 2018. "Renewable energy in Turkey: Great potential, low but increasing utilization, and an empirical analysis on renewable energy-growth nexus," Energy Policy, Elsevier, vol. 123(C), pages 240-250.
    13. Turan Katircioglu, Salih, 2013. "Interactions between energy and imports in Singapore: Empirical evidence from conditional error correction models," Energy Policy, Elsevier, vol. 63(C), pages 514-520.
    14. Phengpis, Chanwit & Apilado, Vince P., 2004. "Economic interdependence and common stochastic trends: A comparative analysis between EMU and non-EMU stock markets," International Review of Financial Analysis, Elsevier, vol. 13(3), pages 245-263.
    15. Syriopoulos, Theodore, 2011. "Financial integration and portfolio investments to emerging Balkan equity markets," Journal of Multinational Financial Management, Elsevier, vol. 21(1), pages 40-54, February.
    16. H. Bayram Irhan & Nur Dilbaz Alacahan & Levent Korap, 2011. "An Empirical Model for the Turkish Trade Balance: New Evidence from ARDL Bounds Testing Analyses," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, vol. 14(1), pages 38-61, May.
    17. Heidari, Hassan & Katircioglu, Salih Turan & Davoudi, Narmin, 2012. "Are current account deficits sustainable? New evidence from Iran using bounds test approach to level relationships," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 6, pages 1-18.
    18. Huseyin Kalyoncu, 2005. "Sustainability of Current Account for Turkey: Intertemporal Solvency Approach," Prague Economic Papers, Prague University of Economics and Business, vol. 2005(1), pages 82-88.
    19. Zdravkovski, Aleksandar, 2016. "Stock market integration and diversification possibilities during financial crises: Evidence from Balkan countries," MPRA Paper 72182, University Library of Munich, Germany.
    20. Koçak, Emrah & Önderol, Seyit & Khan, Kamran, 2021. "Structural change, modernization, total factor productivity, and natural resources sustainability: An assessment with quantile and non-quantile estimators," Resources Policy, Elsevier, vol. 74(C).
    21. Syriopoulos, Theodore, 2007. "Dynamic linkages between emerging European and developed stock markets: Has the EMU any impact?," International Review of Financial Analysis, Elsevier, vol. 16(1), pages 41-60.

    More about this item

    Keywords

    Stock Markets; Co-integration; Diversification;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • 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

    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:tcb:cebare:v:7:y:2007:i:1:p:1-12. 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.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: the person in charge or the person in charge or the person in charge or the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/tcmgvtr.html .

    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.