Skip navigation
Logo
User training | Reference and search service

Library catalog

Retrievo
EDS
b-on
More
resources
Content aggregators
Please use this identifier to cite or link to this item:

acessibilidade

http://hdl.handle.net/10071/9120
acessibilidade
Title: Globalization and long-run co-movements in the stock market for the G7: an application of VECM under structural breaks
Authors: Menezes, R.
Dionísio, A.
Keywords: Cointegration
Globalization
Long-run co-movements
Market integration
Structural breaks
VECM
Issue Date: 2011
Publisher: Science China Press/Springer
Abstract: This paper analyzes the process of long-run co-movements and stock market globalization on the basis of cointegration tests and vector error correction (VEC) models. The cointegration tests used here allow for structural breaks to be explicitly modeled and breakpoints to be computed on a relative-time basis. The data used in our empirical analysis were drawn from Datastream and comprise the natural logarithms of relative stock market indexes since 1973 for the G7 countries. The main results point to the conclusion that significant causal cointegration effects occur in this context and that there is a long-run relationship that governs the worldwide process of market integration. Globalization, however, is a complex adjustment process and in many cases there is only evidence of weak market integration which means that non-proportional price transmission occurs in the market along with proportional changes. The worldwide markets, as expected, appear to be driven in general by the US stock market.
Description: WOS:000297724700019 (Nº de Acesso Web of Science)
Peer reviewed: Sim
URI: https://ciencia.iscte-iul.pt/public/pub/id/8278
http://hdl.handle.net/10071/9120
ISSN: 1001-6538
Publisher version: The definitive version is available at: http://dx.doi.org/10.1007/s11434-011-4755-x
Appears in Collections:BRU-RI - Artigo em revista científica internacional com arbitragem científica

Files in This Item:
acessibilidade
File Description SizeFormat 
publisher_version_art3A10_10072Fs11434_011_4755_x.pdf749.39 kBAdobe PDFView/Open


FacebookTwitterDeliciousLinkedInDiggGoogle BookmarksMySpace
Formato BibTex MendeleyEndnote Currículo DeGóis 

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.