U.S. AND COSTA RICA STOCK MARKET COINTEGRATION

Jed Baker

The International Journal of Business and Finance Research, 2017, vol. 11, issue 2, 93-104

Abstract: This paper tests the stationarity and cointegration of the historical daily data on the S&P 500 and the Costa Rican Bolsa Nacional de Valores (BNV). Both the Engle-Granger and Johansen Cointegration Tests are used to estimate this relationship. Results suggest that S&P 500 data and BNV are cointegrated although causal indicators between the two methods are contradictory. Specifically, the Granger Causality test suggests the S&P 500 is causal of BNV movement, while the coefficients in the error corrected model of the Johansen test are insignificant between S&P lags and BNV movement

Keywords: International Financial Markets; Financial Market Cointegration (search for similar items in EconPapers)
JEL-codes: G15 (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:ibf:ijbfre:v:11:y:2017:i:2:p:93-104

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