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• W2471389533 abstract "We examine time-varying international equity market integration using the VAR-based rolling cointegration analysis and coefficients of the error correction terms. Using Exchange-traded funds (ETFs) as proxies for international equity markets allows us to take advantages of avoiding discrepancy of trading time, exchange rate volatility and lack of liquidity. Applying different sizes of window for the rolling cointegration analysis, we reveal that 500-day (or less) windows may not be long enough and more likely to have results biased. We also find three sub-periods showing relatively strong cointegrating relationships, but results for the rest of sample period display weak integration among international equity markets. Then, we conclude that investors can benefit by diversifying their investments to major equity markets and others. Our findings from the error correction model exhibit that major markets with greater coefficients are more efficient than the markets with relatively smaller coefficients. After all, there might be an arbitrage opportunity due to a different response speed of short-run dynamics to the deviations from long-run equilibrium. We can easily apply our findings to actual investment strategies by simply buying stocks of ETFs, and enjoy the benefits from diversification and arbitrage opportunities." @default.
• W2471389533 created "2016-07-22" @default.
• W2471389533 creator A5055845016 @default.
• W2471389533 date "2011-01-01" @default.
• W2471389533 modified "2023-09-26" @default.
• W2471389533 title "Time-Varying International Equity Market Integration: Evidence from Market Price of Exchange-Traded Funds" @default.
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• W2471389533 doi "https://doi.org/10.2139/ssrn.1896466" @default.
• W2471389533 hasPublicationYear "2011" @default.
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