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• W2016186722 abstract "Abstract This paper examines the integration of financial markets using data from five international stock markets in the context of globalization. The theoretical basis of this study relies on the price theory and the Law of One Price, which was adjusted to the framework of financial markets. When price levels are nonstationary, cointegration and the error correction model constitute a powerful tool for the empirical examination of market integration. The error correction model provides a fully dynamic framework that allows to separating the long and the short run effects of the integration process. A dataset encompassing the daily stock price series of the PSI 20 (Portugal), IBEX 35 (Spain), FTSE 100 (UK), NIKKEI 225 (Japan) and SP 500 (US) indices from January 4th 1999 to September 19th 2014 is employed. The results highlight that these five stock markets are linked together by just one long-run relationship, although short-run movements are also present, which causes distinct deviations from the long-run equilibrium relationship. Endogeneity prevails in the system as a whole. While market integration in the sense of the Law of One Price holds, pairwise full price transmission has limited evidence. The results therefore show that stock market price movements are highly nonlinear and complex." @default.
• W2016186722 created "2016-06-24" @default.
• W2016186722 creator A5060904824 @default.
• W2016186722 date "2015-07-01" @default.
• W2016186722 modified "2023-09-27" @default.
• W2016186722 title "On the integration of financial markets: How strong is the evidence from five international stock markets?" @default.
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• W2016186722 doi "https://doi.org/10.1016/j.physa.2015.02.070" @default.
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