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| Tekijä: | Bracker, K. Docking, D. S. Koch, P. D. |
| Otsikko: | Economic determinants of evolution in international stock market integration |
| Lehti: | Journal of Empirical Finance
1999 : JAN, VOL. 6:1, p. 1-27 |
| Asiasana: | Stock markets Capital Models |
| Vapaa asiasana: | Integration |
| Kieli: | eng |
| Tiivistelmä: | In this study, it is investigated how and why different pairs of national equity markets display differing degrees of co-movement over time. A greater degree of co-movement is interpreted as to reflect greater stock market integration. It is hypothesized that the extent of stock market integration may depend on certain macroeconomic variables that characterize and influence the degree of economic integration btw. two countries. As the degree of economic integration varies over time for a given pair of countries, it may be expected the extent of equity market integration to vary systematically. This hypothesis is empirically investigated. In the study, daily data for nine national equity markets is employed over 22 yearly samples to estimate annual Geweke (J. Am. Statist. Assoc. 77, 1982, pp. 304-313) measures of feedback for different pairs of markets. |
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