Cointegration Test for Equity Market Integration

Produk Detail:
  • Author : Hwahsin Cheng
  • Publisher : Unknown
  • Pages : 454 pages
  • ISBN :
  • Rating : /5 from reviews
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Global Stock Market Integration

Global Stock Market Integration
  • Author : Asma Mobarek,Sabur Mollah
  • Publisher : Palgrave Macmillan
  • Release : 18 November 2015
GET THIS BOOK Global Stock Market Integration

Stock market integration between developing and emerging markets has numerous benefits for creating a global - yet stable - world economy. It increases competition and the efficiency of local markets, in turn reducing price volatility and the cost of capital among integrated markets. It also generates capital flows, which enhance financial stability and spur economic growth. At its core, stock market integration has an important role to play in both developing and emerging markets still reeling from the global financial

Cointegration of International Stock Market Indices

Cointegration of International Stock Market Indices
  • Author : Mr.Ray Yeu-Tien Chou,Mr.Victor Ng,Lynn K. Pi
  • Publisher : International Monetary Fund
  • Release : 01 August 1994
GET THIS BOOK Cointegration of International Stock Market Indices

In this paper, we derive evidence on the integration of international stock markets from the cointegration properties of international stock market prices. Using the multivariate cointegration test of Johansen, we find that the set of six country stock price indices, including that of the United States, Canada, the United Kingdom, France, Germany, and Japan are cointegrated. The results suggest that there are long-run equilibrium relationships among the stock market prices. Subsample and subgroup analyses also indicate that the cointegration relationships

International Integration of Equity Markets and Contagion Effects

International Integration of Equity Markets and Contagion Effects
  • Author : Mr.Paul Cashin,Mr.Manmohan S. Kumar,Mr.C. John McDermott
  • Publisher : International Monetary Fund
  • Release : 01 November 1995
GET THIS BOOK International Integration of Equity Markets and Contagion Effects

This paper investigates empirically the degree of international integration of industrial and emerging country equity markets. It analyzes two issues: first, the extent to which equity prices have tended to move similarly across countries and regions in the long run; and second, the strength of cross-country “contagion” effects. The paper’s findings suggest that both intra-regional and inter-regional linkages across national equity markets have strengthened in recent years. In addition, using impulse response functions, the paper shows that cross-country contagion

Stock Market Integration

Stock Market Integration
  • Author : E. Dorodnykh
  • Publisher : Springer
  • Release : 04 November 2013
GET THIS BOOK Stock Market Integration

This book provides an original approach to the determinants of stock exchange integration. With case studies of successful integration projects in Europe, North America, Latin America as well as intercontinental cross-border mergers, it provides a complete analysis of all existing integration projects between stock exchange markets.

Information Efficiency and Anomalies in Asian Equity Markets

Information Efficiency and Anomalies in Asian Equity Markets
  • Author : Qaiser Munir,Sook Ching Kok
  • Publisher : Taylor & Francis
  • Release : 04 October 2016
GET THIS BOOK Information Efficiency and Anomalies in Asian Equity Markets

The efficient market hypothesis (EMH) maintains that all relevant information is fully and immediately reflected in stock prices and that investors will obtain an equilibrium rate of return. The EMH has far reaching implications for capital allocation, stock price prediction, and the effectiveness of specific trading strategies. Equity market anomalies reflect that the market is inefficient and hence, contradicts the EMH. This book gathers both theoretical and practical perspectives, by including research issues, methodological approaches, practical case studies, uses of