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- W2004691255 abstract "AbstractThis paper presents a global and detailed examination of the dynamic interactions between the North American security markets (Canada, United States) and nine emerging markets (Argentina, Brazil, Chile, Korea, Greece, India, Mexico, Thailand, and Zimbabwe), using monthly data from December, 1975 to December, 1992. Multivariate cointegration tests reveal the numbers of long-term equilibrium relationships between these markets. The short-term interdependence and interaction effects between the markets are studied using autoregressive model, an analysis of the dynamic responses to shocks in the principal markets, and the decomposition of the prediction errors. Finally, an ARCH model has been used to examine the intermarket relationships of the conditional volatility of the security returns.ResumeCet article presente une vue d'ensemble et une evaluation approfondie des interactions dynamiques entre les marches boursiers nord-americains (Canada, etats-Unis) et neuf marches en emergence (Argentine, Bresil, Chili, Coree, Grece, Inde, Mexique, Thailande et Zimbabwe), a partir de donnees mensuelles de decembre 1975 a decembre 1992. Des tests de cointegration multtvariee revelent le nombre de relations d'equilibre de long terme entre ces marches. A trovers un modele de variables auto-regressives, une analyse des reponses dynamiques a des chocs dans les marches et une decomposition de la variance des erreurs de prevision, les relations d'interdepen-dance et d'interaction dynamiques de court terme entre les 11 marches sont examinees. Un modele de transmission de volatilite de type ARCH a permis d'etudier les relations entre les volatilites conditionnelles des rende-ments." @default.
- W2004691255 created "2016-06-24" @default.
- W2004691255 creator A5043893177 @default.
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- W2004691255 date "2009-04-08" @default.
- W2004691255 modified "2023-09-26" @default.
- W2004691255 title "Dynamique des relations entre les marchés boursiers nord-américains et les marchés en émergence" @default.
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- W2004691255 doi "https://doi.org/10.1111/j.1936-4490.1996.tb00110.x" @default.
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