EconPapers    
Economics at your fingertips  
 

Do on/off time series models reproduce emerging stock market comovements?

Mohamed Arouri () and Fredj Jawadi ()

Economics Bulletin, 2011, vol. 31, issue 1, 960-968

Abstract: Using nonlinear modeling tools, this study investigates the comovements between the Mexican and the world stock markets over the last three decades. While the previous works only highlight some evidence of comovements, our paper aims to specify the different time-varying links and mechanisms characterizing the Mexican stock market through the comparison of two nonlinear error correction models (NECMs). Our findings point out strong evidence of time-varying and nonlinear mean-reversion and links between Mexico and the world stock market, which reflects the significant development of Mexican stock market during the last decades. The specification of the nature of these links is interesting for investment decisions in emerging markets.

Keywords: Keywords: Emerging Stock Market Links; Nonlinearity. (search for similar items in EconPapers)
JEL-codes: C2 G1 (search for similar items in EconPapers)
Date: 2011-03-25
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed

Downloads: (external link)
http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I1-P91.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:ebl:ecbull:eb-10-00269

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().

 
Page updated 2021-06-10
Handle: RePEc:ebl:ecbull:eb-10-00269