WHO DRIVES WHOM? INVESTIGATING THE RELATIONSHIP BETWEEN THE MAJOR STOCK MARKETS
In this paper we examine the relationships between the major stock markets including the U.S., the U.K, Japan, Germany and France covering a long period from July 1987 to December 2015 and employing Carrion-i-Silvestre et al. (2009) unit root tests and Maki (2012) cointegration test, both of...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
“Victor Slăvescu” Centre for Financial and Monetary Research
2016-06-01
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| Series: | Financial Studies |
| Subjects: | |
| Online Access: | http://fs.icfm.ro/vol20i2p6-24.pdf |
| _version_ | 1797900259654893568 |
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| author | Pinar EVRIM MANDACI Efe Caglar CAGLI |
| author_facet | Pinar EVRIM MANDACI Efe Caglar CAGLI |
| author_sort | Pinar EVRIM MANDACI |
| collection | DOAJ |
| description | In this paper we examine the relationships between the major
stock markets including the U.S., the U.K, Japan, Germany and
France covering a long period from July 1987 to December 2015 and
employing Carrion-i-Silvestre et al. (2009) unit root tests and Maki
(2012) cointegration test, both of which considering structural breaks.
Additionally, we estimate the long-run elasticities of the co-integrating
relationships by applying dynamic ordinary least squares algorithm of
Stock and Watson (1993). And lastly, we investigate short-run
linkages among stock markets using the Granger causality test
across the subsamples determined according to the breakpoints. Our
results indicate that these markets are mostly co-integrated. Among
them only the Japanese market is mildly segmented proving a
diversification benefit. Additionally, we observe a gradually decrease
in the short-run relationship between these markets. |
| first_indexed | 2024-04-10T08:43:12Z |
| format | Article |
| id | doaj.art-03e2c1c4c3134d788ce71c01a382f34e |
| institution | Directory Open Access Journal |
| issn | 2066-6071 |
| language | English |
| last_indexed | 2024-04-10T08:43:12Z |
| publishDate | 2016-06-01 |
| publisher | “Victor Slăvescu” Centre for Financial and Monetary Research |
| record_format | Article |
| series | Financial Studies |
| spelling | doaj.art-03e2c1c4c3134d788ce71c01a382f34e2023-02-22T17:13:14Zeng“Victor Slăvescu” Centre for Financial and Monetary ResearchFinancial Studies2066-60712016-06-01202624WHO DRIVES WHOM? INVESTIGATING THE RELATIONSHIP BETWEEN THE MAJOR STOCK MARKETSPinar EVRIM MANDACI0Efe Caglar CAGLI1Department of Business Administration, Dokuz Eylul University, TurkeyDepartment of Business Administration, Dokuz Eylul University, TurkeyIn this paper we examine the relationships between the major stock markets including the U.S., the U.K, Japan, Germany and France covering a long period from July 1987 to December 2015 and employing Carrion-i-Silvestre et al. (2009) unit root tests and Maki (2012) cointegration test, both of which considering structural breaks. Additionally, we estimate the long-run elasticities of the co-integrating relationships by applying dynamic ordinary least squares algorithm of Stock and Watson (1993). And lastly, we investigate short-run linkages among stock markets using the Granger causality test across the subsamples determined according to the breakpoints. Our results indicate that these markets are mostly co-integrated. Among them only the Japanese market is mildly segmented proving a diversification benefit. Additionally, we observe a gradually decrease in the short-run relationship between these markets.http://fs.icfm.ro/vol20i2p6-24.pdfstock marketdiversificationcointegrationstructural breaksfinancial crisis |
| spellingShingle | Pinar EVRIM MANDACI Efe Caglar CAGLI WHO DRIVES WHOM? INVESTIGATING THE RELATIONSHIP BETWEEN THE MAJOR STOCK MARKETS Financial Studies stock market diversification cointegration structural breaks financial crisis |
| title | WHO DRIVES WHOM? INVESTIGATING THE RELATIONSHIP BETWEEN THE MAJOR STOCK MARKETS |
| title_full | WHO DRIVES WHOM? INVESTIGATING THE RELATIONSHIP BETWEEN THE MAJOR STOCK MARKETS |
| title_fullStr | WHO DRIVES WHOM? INVESTIGATING THE RELATIONSHIP BETWEEN THE MAJOR STOCK MARKETS |
| title_full_unstemmed | WHO DRIVES WHOM? INVESTIGATING THE RELATIONSHIP BETWEEN THE MAJOR STOCK MARKETS |
| title_short | WHO DRIVES WHOM? INVESTIGATING THE RELATIONSHIP BETWEEN THE MAJOR STOCK MARKETS |
| title_sort | who drives whom investigating the relationship between the major stock markets |
| topic | stock market diversification cointegration structural breaks financial crisis |
| url | http://fs.icfm.ro/vol20i2p6-24.pdf |
| work_keys_str_mv | AT pinarevrimmandaci whodriveswhominvestigatingtherelationshipbetweenthemajorstockmarkets AT efecaglarcagli whodriveswhominvestigatingtherelationshipbetweenthemajorstockmarkets |