WHO DRIVES WHOM? INVESTIGATING THE RELATIONSHIP BETWEEN THE MAJOR STOCK MARKETS
Pinar Evrim Mandaci and
Efe Cagli ()
Additional contact information
Pinar Evrim Mandaci: Department of Business Administration, Dokuz Eylul University, Turkey
Studii Financiare (Financial Studies), 2016, vol. 20, issue 2, 6-24
In this paper we examine the relationships between the major stock markets including the U.S., the U.K, Japan, Germany and France covering a long period from July 1987 to December 2015 and employing Carrion-i-Silvestre et al. (2009) unit root tests and Maki (2012) cointegration test, both of which considering structural breaks. Additionally, we estimate the long-run elasticities of the co-integrating relationships by applying dynamic ordinary least squares algorithm of Stock and Watson (1993). And lastly, we investigate short-run linkages among stock markets using the Granger causality test across the subsamples determined according to the breakpoints. Our results indicate that these markets are mostly co-integrated. Among them only the Japanese market is mildly segmented proving a diversification benefit. Additionally, we observe a gradually decrease in the short-run relationship between these markets.
Keywords: Stock Market; Diversification; Cointegration; Structural Breaks; Financial Crisis (search for similar items in EconPapers)
JEL-codes: G11 G14 G15 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:vls:finstu:v:20:y:2016:i:2:p:6-24
Access Statistics for this article
More articles in Studii Financiare (Financial Studies) from Centre of Financial and Monetary Research "Victor Slavescu" Contact information at EDIRC.
Bibliographic data for series maintained by Daniel Mateescu ().