Globalization and long-run co-movements in the stock market for the G7: An application of VECM under structural breaks

作     者：MENEZES Rui DIONíSIO Andreia 

作者机构：ISCTE-IUL Business School UNIDE-IUL Research Center University of vora CEFAGE-UE Research Center 

出 版 物：《Chinese Science Bulletin》 (Chin. Sci. Bull.)

年 卷 期：2011年第56卷第34期

页      面：3707-3716页

核心收录：

学科分类：02[经济学] 0202[经济学-应用经济学] 07[理学] 020202[经济学-区域经济学] 070104[理学-应用数学] 0701[理学-数学] 

基　　金：supported by FCT-Fundao para a Ciência e Tecnologia (PTDC/GES/73418/2006  PTDC/GES/70529/2006  and FCOMP-01-0124- FEDER-007350) 

主　　题：美国股市 结构突变 全球化 应用程序 运动 合作 市场一体化 误差修正 

摘      要：This paper analyzes the process of long-run co-movements and stock market globalization on the basis of cointegration tests and vector error correction (VEC) models. The cointegration tests used here allow for structural breaks to be explicitly modeled and breakpoints to be computed on a relative-time basis. The data used in our empirical analysis were drawn from Datastream and comprise the natural logarithms of relative stock market indexes since 1973 for the G7 countries. The main results point to the conclusion that significant causal cointegration effects occur in this context and that there is a long-run relationship that governs the worldwide process of market integration. Globalization, however, is a complex adjustment process and in many cases there is only evidence of weak market integration which means that non-proportional price transmission occurs in the market along with proportional changes. The worldwide markets, as expected, appear to be driven in general by the US stock market.