Financial Integration of the European, North America, Asiatic and Japanese Stock Markets from 2003 to Present Times

• 발행기관: 세종대학교 경제통합연구소
• 저자명: Vittorio Penco Cormac Lucas
• 간행물 정보: 『Journal of Economic Integration』제39권 제2호, 344~372쪽, 전체 29쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2024.06.01

국문 초록

We apply an integration/segmentation analysis between the European (EU) market and the North America stock market (US and Canada), the Asian Stock Market (AS) and the Japanese (JP) market. The analysis is carried out from 2003 until the present time. We apply the Jorion and Schwartz (1986) methodology and extend the work of Brooks et al. (2009) using a simpler Capital Asset Price Model (CAPM) and the Market return downloaded from the Fama French website for the time period analysed. Our results in this empirical study show integration between the European portfolios and the US stock market and the Asian Portfolios and the US stock market in the full time period analysed. Although the methods applied in this paper have been already introduced in the literature, this is the first time that they are applied systematically to compare the integration and segmentation between different economies and a given portfolio set. This systematic approach helps to establish the conclusiveness of their forecasts.

목차

I. Introduction

II. Methodology

III. Empirical Findings of CAPM

IV. Summary, Conclusions, and the Way Forward

References

키워드

integration segmentation