Linkages between international stock markets: A multivariate long-memory approach

Ozdemir, Zeynel

doi:10.1016/j.physa.2009.02.023

Linkages between international stock markets: A multivariate long-memory approach

Atıf İçin Kopyala

Ozdemir Z. A.

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, cilt.388, sa.12, ss.2461-2468, 2009 (SCI-Expanded)

Yayın Türü: Makale / Tam Makale
Cilt numarası: 388 Sayı: 12
Basım Tarihi: 2009
Doi Numarası: 10.1016/j.physa.2009.02.023
Dergi Adı: PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
Sayfa Sayıları: ss.2461-2468
Gazi Üniversitesi Adresli: Hayır

Özet

This paper aims to analyze the linkages between international stock markets and to search for all optimum model for analyzing their interactions taking into consideration their geographical location, using the vector fractionally integrated autoregressive moving-average (VARFIMA) model. This model has not so far been employed in examining the interdependence among the stock markets of Germany, Japan, the UK, and the USA. The results of the pallet show that there is all interconnection among the stock markets of these countries. (c) 2009 Elsevier B.V. All rights reserved.