Financial markets integration: A vector error-correction approach

Dumitru-Cristian Oanea

The Journal of Economic Asymmetries, 2015, vol. 12, issue 2, 153-161

Abstract: Financial crisis pointed out the higher possibility of financial contagion and put a bigger attention in recent years on this topic. Integration between financial markets it is the best channel of spreading the negative effects of crises within markets. Due to this, the risk had increased on financial markets, simultaneously with the decrease of the benefits received by investor based on portfolio diversification.

Keywords: Capital markets; VECM; Impulse response function; Variance decomposition (search for similar items in EconPapers)
JEL-codes: E44 G15 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:joecas:v:12:y:2015:i:2:p:153-161

DOI: 10.1016/j.jeca.2015.07.002

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