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http://hdl.handle.net/10071/7813
acessibilidade
Title: An analysis of equity markets cointegration in the european sovereign debt crisis
Authors: Ferreira, N. B.
Oliveira, M. M.
Keywords: Stock markets indices
Structural breaks
Cointegration
EU sovereign debt crisis
Issue Date: 2014
Publisher: Scientific Online Publishing
Abstract: A simplified presentation of an empirical finding in the portfolio diversification literature is that diversifying across countries is more effective in reducing risks than diversifying across industries. While the linear approach is not designed to capture a significant integration, this is not the case when Gregory and Hansen cointegration tests are used to assess this relation by allowing for instability in these long-run relations. The present work investigates the existence of long-run relations between the Portuguese and other markets under stress. Interestingly, the only market that did not follow this trend was Spain. In overall, our results found six cointegration vectors: two within the group of European emerging markets (Portugal, Italy and Ireland) and the other four between the Portuguese market and the mature markets (France, United Kingdom, Germany and United States).
Peer reviewed: Sim
URI: https://ciencia.iscte-iul.pt/public/pub/id/17264
http://hdl.handle.net/10071/7813
DOI: http://dx.doi.org/10.15764/FIN.2014.01004
ISSN: N/A
Appears in Collections:BRU-RI - Artigo em revista científica internacional com arbitragem científica

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