IMPLICATIONS FOR NATIONAL EQUITY MARKET COMOVEMENTS: AN APPLICATION OF THE ENGLE‐GRANGER TWO‐STEP PROCEDURE

Emerald - Tập 15 Số 2 - Trang 31-59 - 1994
Lori L.Leachman1, BillFrancis2, IvanMarcott3
1Assistant Professor at Northern Arizona University.
2Assistant Professor at University of North Carolina at Charlotte.
3Economist Director at Nations Bank in Europe.

Tóm tắt

This paper tests for longrun relationships among the national equity markets of the G'7 countries using the Engle‐Granger two‐step procedure. Results indicate that cointegration is the norm among these seven equity markets in the post‐Bretton Woods period. Further, market adjustments to system equilibria are accelerating as one moves toward the present implying that markets are becoming more integrated.

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Tài liệu tham khảo

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Emerald

Tập 15 Số 2

31-59

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