Linkages between international stock markets: A multivariate long-memory approach


ÖZDEMİR Z. A.

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, cilt.388, sa.12, ss.2461-2468, 2009 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 388 Sayı: 12
  • Basım Tarihi: 2009
  • Doi Numarası: 10.1016/j.physa.2009.02.023
  • Dergi Adı: PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Sayfa Sayıları: ss.2461-2468
  • Anahtar Kelimeler: Stock markets, VARFIMA and impulse-response function, EFFICIENT CAPITAL-MARKETS, VECTOR ARFIMA MODEL, NONLINEAR DYNAMICS, GRANGER CAUSALITY, EXCHANGE-RATES, MOVEMENTS
  • Ankara Hacı Bayram Veli Üniversitesi Adresli: Hayır

Özet

This paper aims to analyze the linkages between international stock markets and to search for all optimum model for analyzing their interactions taking into consideration their geographical location, using the vector fractionally integrated autoregressive moving-average (VARFIMA) model. This model has not so far been employed in examining the interdependence among the stock markets of Germany, Japan, the UK, and the USA. The results of the pallet show that there is all interconnection among the stock markets of these countries. (c) 2009 Elsevier B.V. All rights reserved.