Cointegration and rolling window cointegration analysis of a selected group of stock market indices

Fil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas. Departamento de Estadística y Matemática; Argentina.

Detalles Bibliográficos
Autores principales: Buzzi, Sergio Martín, Ojeda, Silvia María
Formato: conferenceObject
Lenguaje:Inglés
Publicado: 2022
Materias:
Cointegration
Rolling window cointegration
Time series
Stock markets
Acceso en línea:http://hdl.handle.net/11086/22602
Aporte de:
Repositorio Digital Universitario (UNC) de Universidad Nacional de Córdoba
id I10-R141-11086-22602
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spelling I10-R141-11086-226022024-07-08T16:43:49Z Cointegration and rolling window cointegration analysis of a selected group of stock market indices Buzzi, Sergio Martín Ojeda, Silvia María Cointegration Rolling window cointegration Time series Stock markets Fil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas. Departamento de Estadística y Matemática; Argentina. Fil: Ojeda, Silvia María. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía y Física; Argentina. In order to explore the degree of integration of international stock markets we select a group formed by the most important indices considering their market capitalization and geographical distribution. After testing for unit roots using the Augmented Dickey Fuller (ADF) and the Kwiatkowski Phillips Schmidt Shin (KPSS) tests, a full sample cointegration analysis is done provided that all the indices are found to be I(1). The existence of cointegration relationships can be interpreted economically as the existence of markets integration. Further, a rolling window cointegration testing procedure is implemented in the programming language R, in order to characterize the dynamic of the degree of integration ofstock markets. This analysis provides valuable information, given that an increase in the degree of cointegration can be interpreted as a signal of the presence of contagion among markets. Fil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas. Departamento de Estadística y Matemática; Argentina. Fil: Ojeda, Silvia María. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía y Física; Argentina. Estadística y Probabilidad 2022-02-18T19:37:26Z 2022-02-18T19:37:26Z 2015-10 conferenceObject 2451-8131 http://hdl.handle.net/11086/22602 eng Licencia Creative Commons Atribución-NoComercial 4.0 Internacional http://creativecommons.org/licenses/by-nc/4.0/ Impreso
institution Universidad Nacional de Córdoba
institution_str I-10
repository_str R-141
collection Repositorio Digital Universitario (UNC)
language Inglés
topic Cointegration
Rolling window cointegration
Time series
Stock markets
spellingShingle Cointegration
Rolling window cointegration
Time series
Stock markets
Buzzi, Sergio Martín
Ojeda, Silvia María
Cointegration and rolling window cointegration analysis of a selected group of stock market indices
topic_facet Cointegration
Rolling window cointegration
Time series
Stock markets
description Fil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas. Departamento de Estadística y Matemática; Argentina.
format conferenceObject
author Buzzi, Sergio Martín
Ojeda, Silvia María
author_facet Buzzi, Sergio Martín
Ojeda, Silvia María
author_sort Buzzi, Sergio Martín
title Cointegration and rolling window cointegration analysis of a selected group of stock market indices
title_short Cointegration and rolling window cointegration analysis of a selected group of stock market indices
title_full Cointegration and rolling window cointegration analysis of a selected group of stock market indices
title_fullStr Cointegration and rolling window cointegration analysis of a selected group of stock market indices
title_full_unstemmed Cointegration and rolling window cointegration analysis of a selected group of stock market indices
title_sort cointegration and rolling window cointegration analysis of a selected group of stock market indices
publishDate 2022
url http://hdl.handle.net/11086/22602
work_keys_str_mv AT buzzisergiomartin cointegrationandrollingwindowcointegrationanalysisofaselectedgroupofstockmarketindices
AT ojedasilviamaria cointegrationandrollingwindowcointegrationanalysisofaselectedgroupofstockmarketindices
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