publication . Article . 2017

Short-term and long-term Interconnectedness of stock returns in Western Europe and the global market

Panda, Ajaya Kumar; Nanda, Swagatika;
Open Access English
  • Published: 06 Jan 2017 Journal: Financial Innovation, volume 3, issue 1 (issn: 2199-4730, Copyright policy)
  • Publisher: Springer Nature
Abstract
Abstract Background The present study examines the short term dynamics and long term equilibrium relationship among the stock markets of 17 countries in Western Europe as well as the world market, using time series techniques. Methods Weekly returns of market benchmark indices of the respective countries are used from the second week of 1995 to the fourth week of December 2013. Results The study finds that the market returns of Austria, Belgium, the Netherlands, and France are relatively less dynamically interlinked as compared with Britain, Denmark, Finland, Germany, Portugal, Spain, Sweden, Switzerland, Greece, Ireland, Luxembourg, and Norway, which are quite ...
Subjects
free text keywords: C22, F36, G15, Stock market interlinkages, VAR, VECM, MSCI, Economics, Interconnectedness, International economics, Cointegration, World market, Market return, Financial economics, ddc:650
Powered by OpenAIRE Open Research Graph
Any information missing or wrong?Report an Issue
publication . Article . 2017

Short-term and long-term Interconnectedness of stock returns in Western Europe and the global market

Panda, Ajaya Kumar; Nanda, Swagatika;