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

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