Utilize este identificador para referenciar este registo:
http://hdl.handle.net/10071/24917
Autoria: | Menezes, R. Bentes, S. R. |
Editor: | Goran D. Putnik |
Data: | 2015 |
Título próprio: | Market integration and globalization of financial markets: Evidence from Portugal, Spain, UK, Japan and US |
Volume: | 3 |
Paginação: | 157 - 162 |
Título do evento: | Fifth International Conference on Business Sustainability, 2015 (BS’15) |
ISSN: | 2183-3060 |
Palavras-chave: | Globalization Market integration Error correction model Nonstationarity Cointegration |
Resumo: | This paper analyzes the stock market globalization on the basis of the price theory. This leads to the concept of market integration which, under the nonstationarity of price level variables, can be empirically tested by using cointegration techniques. An error correction model incorporating prices and returns is specified and empirically tested. The results show that the five stock markets under analysis are cointegrated and there is just one cointegrating vector that explains the longrun relationship between these markets. Market integration holds for the system as a whole but full price transmission is only accepted for some pairs. The results show that price movements between pairwise stock markets are usually highly nonlinear. |
Arbitragem científica: | yes |
Acesso: | Acesso Aberto |
Aparece nas coleções: | BRU-CRI - Comunicações a conferências internacionais |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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conferenceobject_32268pdf | Versão Editora | 145,94 kB | Adobe PDF | Ver/Abrir |
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