Testing Integration between the Major Emerging Markets

Pinar Evrim Mandaci and Erdost Torun

Central Bank Review, 2007, vol. 7, issue 1, 1-12

Abstract: This study examines the stock market integration between major emerging markets in different regions of the world, namely, Turkey, Russia, Brazil, Korea, South Africa, and Poland. The study employs a variety of co-integration tests; i.e., Engle-Granger (EG) (1987), Johansen (1988), Johansen and Juselius (1990), the Bounds test (Pesaran et al) (2001) to measure the long-term relationship, and Granger causality approach for the short-term relationship between those markets. The results unfolded that between Brazil and Polish markets long and short-term relationship could be diagnosed through the aforementioned tests save the Bounds test; whilst the same Bounds test confirmed the existence of a significant co-integration between Russian and Korean stock markets.

Keywords: Stock Markets; Co-integration; Diversification (search for similar items in EconPapers)
JEL-codes: C32 F21 G15 (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:tcb:cebare:v:7:y:2007:i:1:p:1-12

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