The relation among the top ten stock markets in the world and their co-integrations

Laion Wolff; Adriano Mendonça Souza; Meire Mezzomo; José Gomes Requeijo

The relation among the top ten stock markets in the world and their co-integrations

Laion Wolff, Adriano Mendonça Souza, Meire Mezzomo, José Gomes Requeijo

Research output: Contribution to conference › Paper › peer-review

Abstract

The aim of this paper is to check if there is a relation economical index such as New York (DJIA, S&P, Nasdaq), Tokyo (Nikkei), London (FSTE), Frankfurt (DAX), Paris (CAC), Shanghai (SSE-180), Buenos Aires (Merval) and Sao Paulo (IBOV), through the methodology of error correction models, as well as the impulse response function. The period analyzed is from January of 2010 to March of 2011 with daily observations. The results of this study show that the index of stock markets has long term equilibrium, and American, Argentina and English markets showed a strong influence over other markets.

Original language	English
Publication status	Published - 1 Jan 2013
Event	22nd International Conference on Production Research, ICPR 2013 - Parana, Brazil Duration: 28 Jul 2013 → 1 Aug 2013 Conference number: 22nd

Conference

Conference	22nd International Conference on Production Research, ICPR 2013
Abbreviated title	ICPR 2013
Country/Territory	Brazil
City	Parana
Period	28/07/13 → 1/08/13

Keywords

Cholesky decomposition
Co-integration Johansen
Granger-causality
Models VAR

Cite this

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title = "The relation among the top ten stock markets in the world and their co-integrations",

abstract = "The aim of this paper is to check if there is a relation economical index such as New York (DJIA, S&P, Nasdaq), Tokyo (Nikkei), London (FSTE), Frankfurt (DAX), Paris (CAC), Shanghai (SSE-180), Buenos Aires (Merval) and Sao Paulo (IBOV), through the methodology of error correction models, as well as the impulse response function. The period analyzed is from January of 2010 to March of 2011 with daily observations. The results of this study show that the index of stock markets has long term equilibrium, and American, Argentina and English markets showed a strong influence over other markets.",

keywords = "Cholesky decomposition, Co-integration Johansen, Granger-causality, Models VAR",

author = "Laion Wolff and Souza, {Adriano Mendon{\c c}a} and Meire Mezzomo and Requeijo, {Jos{\'e} Gomes}",

year = "2013",

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language = "English",

note = "22nd International Conference on Production Research, ICPR 2013, ICPR 2013 ; Conference date: 28-07-2013 Through 01-08-2013",

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T1 - The relation among the top ten stock markets in the world and their co-integrations

AU - Wolff, Laion

AU - Souza, Adriano Mendonça

AU - Mezzomo, Meire

AU - Requeijo, José Gomes

N1 - Conference code: 22nd

PY - 2013/1/1

Y1 - 2013/1/1

N2 - The aim of this paper is to check if there is a relation economical index such as New York (DJIA, S&P, Nasdaq), Tokyo (Nikkei), London (FSTE), Frankfurt (DAX), Paris (CAC), Shanghai (SSE-180), Buenos Aires (Merval) and Sao Paulo (IBOV), through the methodology of error correction models, as well as the impulse response function. The period analyzed is from January of 2010 to March of 2011 with daily observations. The results of this study show that the index of stock markets has long term equilibrium, and American, Argentina and English markets showed a strong influence over other markets.

AB - The aim of this paper is to check if there is a relation economical index such as New York (DJIA, S&P, Nasdaq), Tokyo (Nikkei), London (FSTE), Frankfurt (DAX), Paris (CAC), Shanghai (SSE-180), Buenos Aires (Merval) and Sao Paulo (IBOV), through the methodology of error correction models, as well as the impulse response function. The period analyzed is from January of 2010 to March of 2011 with daily observations. The results of this study show that the index of stock markets has long term equilibrium, and American, Argentina and English markets showed a strong influence over other markets.

KW - Cholesky decomposition

KW - Co-integration Johansen

KW - Granger-causality

KW - Models VAR

UR - http://www.scopus.com/inward/record.url?scp=84929359689&partnerID=8YFLogxK

M3 - Paper

AN - SCOPUS:84929359689

T2 - 22nd International Conference on Production Research, ICPR 2013

Y2 - 28 July 2013 through 1 August 2013

ER -

The relation among the top ten stock markets in the world and their co-integrations

Abstract

Conference

Keywords

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