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 conferencePaper

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 languageEnglish
Publication statusPublished - 1 Jan 2013
Event22nd International Conference on Production Research, ICPR 2013 - Parana, Brazil
Duration: 28 Jul 20131 Aug 2013

Conference

Conference22nd International Conference on Production Research, ICPR 2013
CountryBrazil
CityParana
Period28/07/131/08/13

Keywords

  • Cholesky decomposition
  • Co-integration Johansen
  • Granger-causality
  • Models VAR

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    Wolff, L., Souza, A. M., Mezzomo, M., & Requeijo, J. G. (2013). The relation among the top ten stock markets in the world and their co-integrations. Paper presented at 22nd International Conference on Production Research, ICPR 2013, Parana, Brazil.