Are stock exchanges integrated in the world? - A critical Analysis
In the recent rapid reforms made the global into a global village in nature and in terms of efficiency, transparency. The information flow in one market may affect the other markets in the world, because of its integration. In this regard, this paper explores the objective whether there is any integration of markets taken place or not. For reaching the objective, we have used rigorous time series techniques for the equal period of data (1st January, 2001 to 30th April, 2009) of 17 stock exchanges in the world, which includes Asia, Europe, north America, Latin America etc.,. Our findings are markets within the region are well integrated both in terms of short run and long run equilibrium, because of its less cross-country restrictions. Many of the markets are showing granger causal relations between each other.
|Date of creation:||May 2009|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://mpra.ub.uni-muenchen.de
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hassan, M. Kabir & Naka, Atsuyuki, 1996. "Short-run and long-run dynamic linkages among international stock markets," International Review of Economics & Finance, Elsevier, vol. 5(4), pages 387-405.
- Kim, E Han & Singal, Vijay, 2000. "Stock Market Openings: Experience of Emerging Economies," The Journal of Business, University of Chicago Press, vol. 73(1), pages 25-66, January.
- Bekaert, Geert & Harvey, Campbell R, 1995.
" Time-Varying World Market Integration,"
Journal of Finance,
American Finance Association, vol. 50(2), pages 403-44, June.
- Taylor, Mark P & Tonks, Ian, 1989. "The Internationalisation of Stock Markets and the Abolition of U.K. Exchange Control," The Review of Economics and Statistics, MIT Press, vol. 71(2), pages 332-36, May.
- Kasa, Kenneth, 1992. "Common stochastic trends in international stock markets," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 95-124, February.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:15902. 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: (Ekkehart Schlicht)
If references are entirely missing, you can add them using this form.