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• W2068372202 abstract "Prior empirical studies analyzing linkages between international equity markets have suffered because suitable real-world financial instruments representing national equity markets were not available for trading. In March 1996, World Equity Benchmark Shares (WEBS) began trading on the American Stock Exchange. WEBS are open-end index funds that trade like closed-end index funds; they are designed to closely track the international indices developed by Morgan Stanley Capital International. This study utilizes WEBS along with Standard & Poor’s Depository Receipts (SPDRs) to avoid the previously encountered problems associated with nonsynchronous trading, fluctuating foreign exchange rates, non-liquidity, trading restrictions, and index replication. Results indicate that substantial pairwise cointegration exists among the 18 market indices as well as between individual closed-end country funds and their own-country WEBS. In addition, Granger causality tests indicate the existence of short-term causal relationships, suggesting market inefficiencies and the possibility of short-run arbitrage opportunities." @default.
• W2068372202 created "2016-06-24" @default.
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• W2068372202 date "1999-11-01" @default.
• W2068372202 modified "2023-09-27" @default.
• W2068372202 title "WEBS, SPDRs, and country funds: an analysis of international cointegration" @default.
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• W2068372202 doi "https://doi.org/10.1016/s1042-444x(99)00003-1" @default.
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