DYNAMIC RELATIONSHIPS BETWEEN ISHARES AND COUNTRY FUNDS: THE CASE OF EUROPE AND ASIA

Rajarshi Aroskar

The International Journal of Business and Finance Research, 2007, vol. 1, issue 1, 1-10

Abstract: This study investigates whether country effects or regional effects are prominent in iShares and country funds that trade in the US. iShares and country funds from three European and three Asian countries are investigated for possible long run and short-run relationships among iShares and country funds of each country and among regional iShares and among regional country funds. Johansen’s methodology is used to investigate long-run relationships, while vector autoregression is used to detect short-term effects. It is found that for both regions, iShares and country funds are related to their country counterparts but not to their regional counterparts in the short run. The reverse is true in the long run, with relationships among regional counterparts but not among country counterparts. These findings support the hypothesis that country effects are prominent in the short-run and regional effects take over in the long run.

Date: 2007
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v1n1-2007/IJBFR-V1N1-2007-1.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ibf:ijbfre:v:1:y:2007:i:1:p:1-10

Access Statistics for this article

The International Journal of Business and Finance Research is currently edited by Terrance Jalbert

More articles in The International Journal of Business and Finance Research from The Institute for Business and Finance Research
Bibliographic data for series maintained by Mercedes Jalbert ( this e-mail address is bad, please contact ).