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Are American and French Stok Markets Integrated?

Author

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  • Mohamed El Hedi Arouri

    (LEO - Laboratoire d'économie d'Orleans [2008-2011] - UO - Université d'Orléans - CNRS - Centre National de la Recherche Scientifique)

  • F. Jawadi

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.
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Suggested Citation

  • Mohamed El Hedi Arouri & F. Jawadi, 2008. "Are American and French Stok Markets Integrated?," Post-Print halshs-00324235, HAL.
    • Handle: RePEc:hal:journl:halshs-00324235
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    2. Anil Sharma & Neha Seth, 2012. "Literature review of stock market integration: a global perspective," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 4(1), pages 84-122, April.
    3. Salahuddin, Sultan & Kashif, Muhammad & Rehman, Mobeen Ur, 2020. "Time Varying Stock Market Integration and Diversification Opportunities within Emerging and Frontier Markets," Public Finance Quarterly, Corvinus University of Budapest, vol. 65(2), pages 168-195.
    4. José Carlos Vides & Antonio A. Golpe & Jesús Iglesias, 2018. "How did the Sovereign debt crisis affect the Euro financial integration? A fractional cointegration approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(4), pages 685-706, November.
    5. Hatemi-J, Abdulnasser & Al-Mohana, Safa, 2019. "Testing for Financial Market Integration of the UAE Market with the Global Market," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 72(4), pages 475-492.
    6. Zohaib Aziz & Javed Iqbal, 2017. "Testing the Dynamic Linkages of the Pakistani Stock Market with Regional and Global Markets," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 22(2), pages 89-116, July-Dec.
    7. Tom JACOB & LITTLEFLOWER P. J, 2022. "Cointegration and stock market interdependence: Evidence from India and selected Asian and African stock markets," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(4(633), W), pages 133-146, Winter.

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    More about this item

    Keywords

    American; French; Stok; Markets; Integrated;
    All these keywords.

    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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