Does the Sri Stock Index Return Co-Movements: Evidence of the Ftse Stock Markets

Abstract

This paper investigates the long-run equilibrium relationship among the FTSE SRI stock index return markets by using the Johansen cointegrtion and VECM model. The empirical results indicated that there is a long-run cointegration relationship among them and the coefficient of the speed of adjustment in FTSE stock index return is negative significant. The show that these stock index return markets are significantly adjusted to disequilibrium from the long-run relationship. According to the variance decomposition analysis, the empirical results stated that the FTSE4 Good index exhibit the significant explanation power to other markets. Next, the empirical results of impulse response analysis display that uni-and bi-directional causality between FTSE stock index return markets. Finally, according to above results, the FTSE stock index return markets can quickly respond to the information from others which show that markets are efficiency. Therefore, investors should respond to the information from others when they are making investment. The efficiency market hypothesis is supported by this analysis.

Modeling of Returns Volatility using GARCH(1,1) Model under Tukey Transformations

“…This currency is the most traded currency in the forex market and the world's leading reserve currency. The FTSE100 Index is a share index of the 100 topperforming companies traded on the London Stock Exchange with the highest market capitalisation [37]. This index is the most frequently used indicator for the UK stock market.…”