EconPapers    
Economics at your fingertips  
 

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

Abstract: 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)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed

Downloads: (external link)
http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v2n2-2008/IJBFR-V2N2-2008-8.pdf (application/pdf)

Related works:
Working Paper: Are American and French Stok Markets Integrated? (2008)
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:2:y:2008:i:2:p:107-116

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 ().

 
Page updated 2021-06-10
Handle: RePEc:ibf:ijbfre:v:2:y:2008:i:2:p:107-116