2016
DOI: 10.1016/j.irfa.2016.08.002
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International stock market cointegration under the risk-neutral measure

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Cited by 19 publications
(19 citation statements)
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“…The study of the interconnections that exist between the world stock markets due to the value of SPX, SMI, FTSE, DAX, CAC stock indices, conducted by M. Gagnon et al (2016), which used a fractionally co-integrated VAR model and proved the existence of financial integration as well as the side effects of volatility both during the global financial crisis and during non-crisis time. So, this issue is being studied in many studies and in different regions of the world.…”
Section: Literature Reviewmentioning
confidence: 99%
“…The study of the interconnections that exist between the world stock markets due to the value of SPX, SMI, FTSE, DAX, CAC stock indices, conducted by M. Gagnon et al (2016), which used a fractionally co-integrated VAR model and proved the existence of financial integration as well as the side effects of volatility both during the global financial crisis and during non-crisis time. So, this issue is being studied in many studies and in different regions of the world.…”
Section: Literature Reviewmentioning
confidence: 99%
“…Studies on global financial crisis are not be in consensus about how the crisis affects integration. Gagnon, Power and Toupin (2016) say there is an increase in market integrity during the crisis among US, Germany, UK, France, and Switzerland. Srivastava, Bhatia and Gupta (2015) get similar findings for US, Japan, Hong Kong, Singapore and India.…”
Section: Literaturementioning
confidence: 99%
“…On the hand, the study shows a high level of integration between the GCC and the US equity markets. Gagnon et al (2016) talked the question of international integration through the analysis of risk. The study analysed 5 major markets, namely, United States (Standard and Poor 500) and its European version for Germany (DAX), Great Britain (FTSE), France (CAC40), and Switzerland (SMI).…”
Section: Literature Reviewmentioning
confidence: 99%