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Testing Integration between the Major Emerging Markets

  • Pinar Evrim Mandaci
  • Erdost Torun
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    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.

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    File URL: https://www3.tcmb.gov.tr/cbr/index.php/cbreview/article/view/291/251
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    Article provided by Research and Monetary Policy Department, Central Bank of the Republic of Turkey in its journal Central Bank Review.

    Volume (Year): 7 (2007)
    Issue (Month): 1 ()
    Pages: 1-12

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    Handle: RePEc:tcb:cebare:v:7:y:2007:i:1:p:1-12
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    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 1057-72, June.
    3. 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.
    4. Ratanapakorn, Orawan & Sharma, Subhash C., 2002. "Interrelationships among regional stock indices," Review of Financial Economics, Elsevier, vol. 11(2), pages 91-108.
    5. 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.
    6. 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.
    7. 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.
    8. 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.
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