文章基本信息

标题：The integration of capital markets: correlation analysis
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作者：Trenca, Ioan ; Dezsi, Eva
期刊名称：Finante - provocarile viitorului (Finance - Challenges of the Future)
印刷版ISSN：1583-3712
出版年度：2010
卷号：1
期号：12
页码：44-53
出版社：University of Craiova, Faculty of Economics and Business Administration
摘要：The financial theory predicts that gains can be achieved through international portfolio diversification, if the different markets are not correlated. As we can see the level of interaction or independence between markets has an important impact of the investments, in means of risk and return. International portfolio diversification can lead to efficient asset allocation and reduce risk, assets associated with similar levels of risk are anticipated to have similar levels of return in integrated markets. But, if these markets are driven by a common shock, for example the present financial crisis, this will have an immediate effect on them. This paper examines the short term relationships between the biggest stock exchanges in the world, and also the dynamics of these market integrations. Unconditional correlation estimates and mobile correlations are first employed; the next step in the analysis is to test each index series for the presence of unit roots, which shows whether the series are nonstationary. Nonstationarity is a precondition for cointegration, additionally all the series must be integrated in the same order. For this I apply the ADF, PP and the KPSS test. Once the stationarity requirements are met the Granger, Johansen and Pedroni tests are used to determine whether the time series are cointegrated.
关键词：capital markets integration; correlation analysis