publication . Article . 2008

ARE AMERICAN AND FRENCH STOCK MARKETS INTEGRATED?

Fredj Jawadi; Mohamed El Hédi Arouri;
Open Access
  • Published: 01 Jan 2008 Journal: The International Journal of Business and Finance Research, volume 2, issue 2, pages 107-116
Abstract
Within a nonlinear framework, this article studies the market integration hypothesis between the French and American stock markets, on a short- and long-term basis. We use two nonlinear Error Correction Models (ECM): the Exponential Switching Transition ECM (ESTECM) and the nonlinear ECM-Rational Polynomial (NECM-RP). Our results provide strong evidence of integration between French and American stock markets. They show that the stock market integration process is non-linear and timevarying and that it has strengthened over time.
Subjects
free text keywords: jel:C22, jel:G15
Powered by OpenAIRE Open Research Graph
Any information missing or wrong?Report an Issue