Linkages between the center and periphery stock prices: Evidence from the vector ARFIMA model

Olgun H., Ozdemir Z. A.

ECONOMIC MODELLING, cilt.25, sa.3, ss.512-519, 2008 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 25 Sayı: 3
  • Basım Tarihi: 2008
  • Doi Numarası: 10.1016/j.econmod.2007.08.002
  • Dergi Adı: ECONOMIC MODELLING
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.512-519
  • Anahtar Kelimeler: emerging markets, stock markets, VARFIMA, impulse-responses, EFFICIENT CAPITAL-MARKETS, EXCHANGE-RATES, LONG-MEMORY, NONLINEAR DYNAMICS
  • Gazi Üniversitesi Adresli: Evet

Özet

This paper provides evidence on the effects of US equity markets on those of selected emerging markets, using the vector fractionally integrated autoregressive moving-average (VARFIMA) model. This model has not so far been employed in examining the interdependence among the equity markets of the world countries. The paper employs four-variate VARFIMA model which allows us to conduct the empirical analysis without transforming the raw data and captures the fractal dynamics. The findings show that while the stock price series of some markets are non-stationary, but mean-reverting, those of some others are non-stationary and non-mean reverting. The more significant finding is that the S&P500 has permanent effects on the stock prices of the emerging markets included in the sample. (C) 2007 Elsevier B.V. All rights reserved.