RELATIONSHIPS AMONG EUROPEAN EQUITY MARKETS:<br />MULTIVARIATE COINTEGRATION AND CAUSALITY EVIDENCE ACROSS DEVELOPED AND E...
AGENDA<br />
1. INTRODUCTION<br />
NOVELTY OF THE RESEARCH<br />
2. THE DATA<br />
Dynamic movement of equity markets <br />
3. EMPIRICAL RESULTS <br />3.1. STATIONARITY - PANEL UNIT ROOT TESTS<br />The level series of daily index quotations are n...
Transformed Variables Examples<br />
LONG-RUN RELATIONSHIP<br />3.2. JOHANSEN COINTEGRATION TEST<br />
SHORT-RUN RELATIONSHIP<br />3.3. GRANGER CAUSALITY TEST<br />
Granger Causality Example<br />Note: Granger causality is given by row to column. Significant p-values at the 1%, 5% or 10...
DYNAMIC RELATIONSHIPS<br />3.4. VECTOR ERROR CORRECTION MODEL<br />
DYNAMIC RELATIONSHIPS<br />VECTOR ERROR CORRECTION MODEL<br />
Vector Error Correction Equation Example<br />
IMPULSE RESPONSE FUNCTIONS<br />
Impulse Response Functions Examples<br />
VARIANCE DECOMPOSITION<br />Stock markets continue to influence each other even after a 10 day interval – consistent with ...
Variance Decomposition Example<br />OTHER<br />1.51%<br />
4. CONCLUSIONS AND POLICY IMPLICATIONS<br />
POLICY IMPLICATIONS<br />
THANK YOU!Questions?<br />
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European Stock Markets Research Paper

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The presentation of my research paper which I gave at The International Academy of Business and Economics Annual Conference, Las Vegas, October 2009

Published in: Economy & Finance
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Transcript of "European Stock Markets Research Paper"

  1. 1. RELATIONSHIPS AMONG EUROPEAN EQUITY MARKETS:<br />MULTIVARIATE COINTEGRATION AND CAUSALITY EVIDENCE ACROSS DEVELOPED AND EMERGING COUNTRIES<br />OANA ARIANA BATORI<br />Purdue university<br />
  2. 2. AGENDA<br />
  3. 3. 1. INTRODUCTION<br />
  4. 4. NOVELTY OF THE RESEARCH<br />
  5. 5. 2. THE DATA<br />
  6. 6. Dynamic movement of equity markets <br />
  7. 7. 3. EMPIRICAL RESULTS <br />3.1. STATIONARITY - PANEL UNIT ROOT TESTS<br />The level series of daily index quotations are non-stationary, while the first differenced series are stationary<br />
  8. 8. Transformed Variables Examples<br />
  9. 9. LONG-RUN RELATIONSHIP<br />3.2. JOHANSEN COINTEGRATION TEST<br />
  10. 10. SHORT-RUN RELATIONSHIP<br />3.3. GRANGER CAUSALITY TEST<br />
  11. 11. Granger Causality Example<br />Note: Granger causality is given by row to column. Significant p-values at the 1%, 5% or 10% level are in bold.<br />
  12. 12. DYNAMIC RELATIONSHIPS<br />3.4. VECTOR ERROR CORRECTION MODEL<br />
  13. 13. DYNAMIC RELATIONSHIPS<br />VECTOR ERROR CORRECTION MODEL<br />
  14. 14. Vector Error Correction Equation Example<br />
  15. 15. IMPULSE RESPONSE FUNCTIONS<br />
  16. 16. Impulse Response Functions Examples<br />
  17. 17. VARIANCE DECOMPOSITION<br />Stock markets continue to influence each other even after a 10 day interval – consistent with the cointegration test results<br />
  18. 18. Variance Decomposition Example<br />OTHER<br />1.51%<br />
  19. 19. 4. CONCLUSIONS AND POLICY IMPLICATIONS<br />
  20. 20. POLICY IMPLICATIONS<br />
  21. 21. THANK YOU!Questions?<br />

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