Short-run and long-run dynamic linkages among international stock markets

Hassan, M. Kabir; Naka, Atsuyuki

doi:10.1016/s1059-0560(96)90025-8

Cited by 62 publications

(48 citation statements)

References 33 publications

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“…The coefficient signs of the weekly data in equation (3) are consistent with the daily data in equation (2) but each estimated parameter is 2.2 to 2.5 times bigger than in equation (2). This implies that all these stock indexes behaved stronger relationship with the NZSEALL using weekly data.…”

Section: Johansen's Multivariate Cointegration Testsupporting

confidence: 52%

Revisiting Share Market Efficiency: Evidence from the New Zealand Australia, US and Japan Stock Indices

Gan¹,

Lee²,

Hwa³

et al. 2005

American J. of Applied Sciences

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This study aims to re-examine the market efficiencies in New Zealand Stock Exchange (NZSE) and Australia Stock Exchange (ASX) stock indices to investigate whether Groenewold's [1] findings still hold in the period after the financial liberalization (January 1990-January 2003. In addition, the study also examines whether the larger US NYSE and Japanese NIKKEI stock indices have any influence on the NZSE and ASX indices. Similar to Groenewold's findings, we find evidence of weak form efficiency for NZSE and ASX stock indices using the Augmented-Dickey Fuller and Philip-Perron unit root tests. In contrast to Groenewold's findings, the Engle-Granger cointegration test results suggest that the NZSE stock index is cointegrated with and granger caused by the ASX index, both violating the semi-strong form market efficiency of NZSE. Although the NZSE is a small stock market, its stock index is relatively independent with respect to the NYSE and NIKKEI stock indices.

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Section: Johansen's Multivariate Cointegration Testsupporting

confidence: 52%

Revisiting Share Market Efficiency: Evidence from the New Zealand Australia, US and Japan Stock Indices

Gan¹,

Lee²,

Hwa³

et al. 2005

American J. of Applied Sciences

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show abstract

“…Although daily data captures speedy transmission of information during both short-and long-run dynamic linkages for stock market integration (see Hassan & Naka, 1996;and Voronkova, 2004), but such data creates the problem of data non-synchronization. Therefore, I have used relevant daily data on which all the nine stock markets were open for trading, and remove the data for the days in which trading was not occurred at least in one market.…”

Section: Data and Empirical Resultsmentioning

confidence: 99%

International Portfolio Diversification - Role of Emerging Economies-US Integration and Dynamic Linkages: An Empirical Study

Dasgupta¹

2016

IJEF

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This paper presents a comprehensive research by studying the cointegration and dynamic linkages of emerging economies all over the world with special emphasis to the US and India to point out the most attractive of them for international portfolio diversification with a lengthy data set of 2003-12 by using appropriate methodologies. It is found that the Indian stock market has short-run granger relationships with most of its BRIC counterparts and some others. In the long-run, nine co-integration relationships are found. It implies that all these stock markets are cointegrated. The US dominance on most markets and dynamic linkages with them has been proved, at least in the short-run. Overall, this study has found that the emerging economies stock markets and Russia don"t provide any portfolio diversification opportunity for the US and other investors.

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“…That is, investors who allocated some of their portfolio to share from other countries can increase the portfolio expected return with no increase in risk. The relationship between international stock price returns integrated have been investigated extensively (i.e, Stulz 1981, Jorion & Schmartz 1986, Taylor and Tonks 1989, Jeon and VonFurstenberg 1990, Arsharapalli and Doukas, 1993, Cheung and Ng 1992, Koop 1994, Lee and Kim 1994, Chowdury 1994, Arshanapalli, Doukas and lay 1995, Hassan and Naka 1996, Chaudhuri 1997, Lenchman 1998, Chen et al 2002, Diamands 2008, Wong et al 2005, Hoqut 2007, Li and Majerowskn 2008, Menon er al. 2009, Bastos and Caiado 2010, Park 2010, Subhani et al 2011, Horvah and Petrovski 2012, Tripathi and Sethi 2012, Thomas Dimpfl 2014, Srimivsan et al 2014.…”

Section: Literature Reviewmentioning

confidence: 99%

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

Wei¹

2015

Pressacademia

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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.

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Short-run and long-run dynamic linkages among international stock markets

Cited by 62 publications

References 33 publications

Revisiting Share Market Efficiency: Evidence from the New Zealand Australia, US and Japan Stock Indices

Revisiting Share Market Efficiency: Evidence from the New Zealand Australia, US and Japan Stock Indices

International Portfolio Diversification - Role of Emerging Economies-US Integration and Dynamic Linkages: An Empirical Study

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

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