U S And Costa Rica Stock Market Cointegration

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U S And Costa Rica Stock Market Cointegration

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Author : Jedediah Baker
language : en
Publisher:
Release Date : 2017

U S And Costa Rica Stock Market Cointegration written by Jedediah Baker and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.

This paper tests the stationarity and cointegration of the historical daily data on the S&P 500 and the Costa Rican Bolsa Nacional de Valores (BNV). Both the Engle-Granger and Johansen Cointegration Tests are used to estimate this relationship. Results suggest that S&P 500 data and BNV are cointegrated although causal indicators between the two methods are contradictory. Specifically, the Granger Causality test suggests the S&P 500 is causal of BNV movement, while the coefficients in the error corrected model of the Johansen test are insignificant between S&P lags and BNV movement.

Cointegration Of International Stock Market Indices

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Author : Ray Y. Chou
language : en
Publisher: International Monetary Fund
Release Date : 1994-08

Cointegration Of International Stock Market Indices written by Ray Y. Chou and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994-08 with Business & Economics categories.

In this paper, we derive evidence on the integration of international stock markets from the cointegration properties of international stock market prices. Using the multivariate cointegration test of Johansen, we find that the set of six country stock price indices, including that of the United States, Canada, the United Kingdom, France, Germany, and Japan are cointegrated. The results suggest that there are long-run equilibrium relationships among the stock market prices. Subsample and subgroup analyses also indicate that the cointegration relationships have become stronger over time. This is consistent with greater stock market integration amid the increasing liberalization and globalization of capital markets.

Comovements In National Stock Market Returns

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Author : Anthony John Richards
language : en
Publisher: International Monetary Fund
Release Date : 1996-04

Comovements In National Stock Market Returns written by Anthony John Richards and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996-04 with Business & Economics categories.

This paper is a response to the literature that tests for cointegration between national stock market indices. It argues that apparent findings of cointegration in other studies may often be due to the use of asymptotic, rather than small-sample, critical values. In fact, economic theory suggests that cointegration is unlikely to be observed in efficient markets. However, this paper finds some evidence for the long-horizon predictability of relative returns, and the existence of “winner-loser” reversals across 16 national equity markets. A conclusion is that national stock market indices include a common world component and two country-specific components, one permanent and one transitory.

Capital Market Integration

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Author : Mr.Masafumi Yabara
language : en
Publisher: International Monetary Fund
Release Date : 2012-01-01

Capital Market Integration written by Mr.Masafumi Yabara and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-01-01 with Business & Economics categories.

Capital markets in the East African Community (EAC) face common challenges of low capitalization and liquidity, but to different degrees. EAC member countries have made noticeable progress in developing domestic capital markets through a regional approach, removing constraints on capital transactions and harmonizing market infrastructure. Nevertheless, empirical analysis suggests capital market integration has not deepened during the past few years in the EAC, although convergence of investment returns is taking place to some extent. Learning from the experience of the West African Economic and Monetary Union and the Association of Southeast Asian Nations, EAC countries would benefit from four actions to accelerate financial market integration: (i) further harmonize market infrastructure; (ii) strengthen regional surveillance mechanisms; (iii) encourage local currency bond issuance by multilateral financial institutions; and (iv) build the capacity of the existing regional institutions.

The Global Structure Of Financial Markets

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Author : Dilip K. Ghosh
language : en
Publisher: Taylor & Francis
Release Date : 2005-08-15

The Global Structure Of Financial Markets written by Dilip K. Ghosh and has been published by Taylor & Francis this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-08-15 with Business & Economics categories.

Good range of (primarily US)contributors Excellent subject given increasing global financial interdependence Dilip Ghosh is well-known and respected - has also published in several journals

Journal Of Economics

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Author : Missouri Valley Economic Association
language : en
Publisher:
Release Date : 1997

Journal Of Economics written by Missouri Valley Economic Association and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Economics categories.

Credit Growth In Latin America

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Author : Niels-Jakob Harbo Hansen
language : en
Publisher: International Monetary Fund
Release Date : 2013-05-10

Credit Growth In Latin America written by Niels-Jakob Harbo Hansen and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-05-10 with Business & Economics categories.

Banking credit to the private sector in Latin America has on average increased by 7 percent of GDP from primo 2004 to ultimo 2011, with real credit in some countries growing by up to 20 percent per year. This paper documents and analyzes the patterns of credit growth in 18 countries in Latin America and uses econometric methods to determine whether it is indicative of financial deepening or poses risks of credit booms. The strongest credit growth occurred for consumption and mortgages within the household sector and for construction within the corporate sector. At the same time credit has de-dollarized in most countries and there are some signs of maturity lengthening. To assess whether the recent credit growth is excessive two different methods are applied. First, by application of HP-filters the paper finds that credit-to-GDP levels in a number of countries are above their long-term trend. Second, using a panel co-integration approach on 107 high and mid-income countries the paper estimates a model for the credit-to-GDP levels. Comparing the actual levels of credit with the ones predicted by the model we find that some countries in Latin America show significant and positive deviations. These results indicate the existence of a certain level of risk in the recent credit developments.

Analysis Of Integrated And Cointegrated Time Series With R

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Author : Bernhard Pfaff
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-09-03

Analysis Of Integrated And Cointegrated Time Series With R written by Bernhard Pfaff and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-09-03 with Business & Economics categories.

This book is designed for self study. The reader can apply the theoretical concepts directly within R by following the examples.

Estudios Econ Micos

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Author :
language : en
Publisher:
Release Date : 1993

Estudios Econ Micos written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Latin America categories.

Global Economic Prospects 2010

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Author : World Bank
language : en
Publisher: World Bank Publications
Release Date : 2010-02-12

Global Economic Prospects 2010 written by World Bank and has been published by World Bank Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-02-12 with Business & Economics categories.

“The crisis has deeply impacted virtually every economy in the world, and although growth has returned, much progress in the fight against poverty has been lost. More difficult international conditions in the years to come will mean that developing countries will have to place even more emphasis on improving domestic economic conditions to achieve the kind of growth that can durably eradicate poverty.� —Justin Yifu Lin, Chief Economist and Senior Vice President The World Bank 'Global Economic Prospects 2010: Crisis, Finance, and Growth' explores both the short- and medium-term impacts of the financial crisis on developing countries. Although global growth has resumed, the recovery is fragile, and unless business and consumer demand strengthen, the world economy could slow down again. Even if, as appears likely, a double-dip recession is avoided, the recovery is expected to be slow. High unemployment and widespread restructuring will continue to characterize the global economy for the next several years. Already, the crisis has provoked large-scale human suffering. Some 64 million more people around the world are expected to be living on less than a $1.25 per day by the end of 2010, and between 30,000 and 50,000 more infants may have died of malnutrition in 2009 in Sub-Saharan Africa, than would have been the case if the crisis had not occurred. Over the medium term, economic growth is expected to recover. But increased risk aversion, a necessary and desirable tightening of financial regulations in high-income countries, and measures to reduce the exposure of developing economies to external shocks are likely to make finance scarcer and more costly than it was during the boom period. As a result, just as the ample liquidity of the early 2000s prompted an investment boom and an acceleration in developing-country potential output, higher costs will likely yield a slowing in developing-country potential growth rates of between 0.2 and 0.7 percentage points, and as much as an 8 percent decline in potential output over the medium term. In the longer term, however, developing countries can more than offset the implications of more expensive international finance by reducing the cost of capital channeled through their domestic financial markets. For more information, please visit www.worldbank.org/gep2010. To access Prospects for the Global Economy, an online companion publication, please visit www.worldbank.org/globaloutlook.