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Are international stock markets correlated?: Comparing NIKKEI, Dow Jones and Dax in the periods 1991-2000 and 2001-2010
Jönköping University, Jönköping International Business School, JIBS, Economics.
2011 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

With the process of financial globalization, many thousands of stock traders and stock brokers endeavor to seek the best portfolio diversification. Ever since the emergence of stock exchanges, whether international stock/equity markets are correlated or not generates more and more attention by investors. Based upon the augmented Dickey- Fuller (ADF) test and the error correction model (ECM), this paper tests the cointegration of three of the biggest stock exchanges in the world. Two periods, 1991-2000 and 2001-2010 are studied. The main finding is that there is no cointegration in the long run period among the tested markets, but in short run Dow Jone Industiral Average (DJIA) will affect Deutscher Aktien- Indice (DAX) and Nikkei Heikin Kabuka, 225 (NIKKEI 225).

Place, publisher, year, edition, pages
2011. , 42 p.
Keyword [en]
International stock markets, cointegration
URN: urn:nbn:se:hj:diva-15897OAI: diva2:436371
Social and Behavioural Science, Law
Available from: 2011-08-29 Created: 2011-08-23 Last updated: 2011-08-29Bibliographically approved

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