ARE AMERICAN AND FRENCH STOCK MARKETS INTEGRATED?
Fredj Jawadi () and
Mohamed Arouri ()
The International Journal of Business and Finance Research, 2008, vol. 2, issue 2, 107-116
Within a nonlinear framework, this article studies the market integration hypothesis between the French and American stock markets, on a short- and long-term basis. We use two nonlinear Error Correction Models (ECM): the Exponential Switching Transition ECM (ESTECM) and the nonlinear ECM-Rational Polynomial (NECM-RP). Our results provide strong evidence of integration between French and American stock markets. They show that the stock market integration process is non-linear and timevarying and that it has strengthened over time.
JEL-codes: C22 G15 (search for similar items in EconPapers)
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Working Paper: Are American and French Stok Markets Integrated? (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:ibf:ijbfre:v:2:y:2008:i:2:p:107-116
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