IDEAS home Printed from https://ideas.repec.org/a/vrs/seejeb/v6y2011i2p13-21n2.html
   My bibliography  Save this article

Does Integration Occur on a Certain Day? The Case of the Lithuanian Stock Market

Author

Listed:
  • Brahmana Rayenda
  • Asmar Muath

    (Finance Cluster. School of Management, Universiti Sains Malaysia)

Abstract

This paper explores the intersection between market integration and Weekend Effect by investigating the possibility of integration to occur in a certain day over the period of 1 January 1990 until 31 December 2010. The integration was retrieved from the intercept time varying rolling regression of Stehle's (1977) ICAPM Model. Meanwhile, the Weekend effect is captured by the intercept time varying rolling regression of French's (1980) Monday Effect Model. For robustness, we modified the French's Model to examine the seasonality inside market integration with Exchange Rate and Oil Prices as the control variable. This research remarks the seasonality of Lithuanian stock market integration.

Suggested Citation

  • Brahmana Rayenda & Asmar Muath, 2011. "Does Integration Occur on a Certain Day? The Case of the Lithuanian Stock Market," South East European Journal of Economics and Business, Sciendo, vol. 6(2), pages 13-21, November.
  • Handle: RePEc:vrs:seejeb:v:6:y:2011:i:2:p:13-21:n:2
    as

    Download full text from publisher

    File URL: https://www.degruyter.com/view/j/jeb.2011.6.issue-2/v10033-011-0012-0/v10033-011-0012-0.xml?format=INT
    Download Restriction: no

    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:vrs:seejeb:v:6:y:2011:i:2:p:13-21:n:2. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Peter Golla). General contact details of provider: https://www.sciendo.com/services/journals .

    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 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.