文章基本信息

标题：Does Bilateral Market and Financial Integration Explains International Co-Movement Patterns 1
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作者：Rehman, Mobeen Ur ; Shah, Syed Muhammad Amir
期刊名称：International Journal of Financial Studies
印刷版ISSN：2227-7072
出版年度：2016
卷号：4
期号：2
出版社：MDPI, Open Access Journal
摘要：This study aims to explore the relationship between market integration, foreign portfolio equity holding and inflation rates on international stock market linkages between Pakistan and India. To measure stock equity interlinkage, we constructed international co-movement index through rolling beta estimation. Market integration variable between these two countries is constructed using the International Capital Asset Pricing Model (ICAPM). To check the impact of market integration, foreign portfolio equity holding and inflation rate on Pakistan-Indian stock market co-movement, we applied autoregressive distributed lag (ARDL) estimation. ARDL estimation is applied due to different stationarity levels of the included variables. The level of convergence speed is measured by the introduction of error correction term (ECT) followed by variance decomposition analysis. Results of the study indicated presence of long term relationship among the included variables along with significance variance in bilateral co-movement due to inflation rate differential. The significance of inflation rate differences between these two countries are in accordance with portfolio balance theory stating that investors possess information about the macroeconomic variables thereby readjusting their portfolios for effective diversification.
关键词：return co-movements; ARDL; variance decomposition analysis; portfolio diversification