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Evidence Of Financial Integration In Asia: An Empirical Application Of Panel Unit Root Tests And Multivariate Cointegration And Causality Procedures, A. C. Worthington, H. Higgs
Evidence Of Financial Integration In Asia: An Empirical Application Of Panel Unit Root Tests And Multivariate Cointegration And Causality Procedures, A. C. Worthington, H. Higgs
Faculty of Commerce - Papers (Archive)
This paper measures the extent of financial integration and interdependence among Asian equity markets over the period January 1993 to June 2006 using daily data. The analysis includes three developed markets (Hong Kong, Japan and Singapore) and eight emerging markets (China, India, Indonesia, Korea, Malaysia, the Philippines, Taiwan and Thailand). The study uses panel unit root tests to test for non-stationarity, and conducts multivariate cointegration, Granger causality and level VAR procedures and variance decomposition are conducted to examine the equilibrium and causal relationships between these markets. The results indicate that there is a stationary long-run equilibrium relationship among, and significant …
An Empirical Note On The Holiday Effect In The Australian Stock Market, 1996-2006, G. Marrett, A. C. Worthington
An Empirical Note On The Holiday Effect In The Australian Stock Market, 1996-2006, G. Marrett, A. C. Worthington
Faculty of Commerce - Papers (Archive)
This note examines the holiday effect in Australian daily stock returns at the market and industry levels and for small capitalisation stocks from Monday 9 September 1996 to Friday 10 November 2006. The eight annual holidays specified are New Years Day, Australia Day (26 January), Easter Friday and Easter Monday, ANZAC Day (25 April), the Queen’s Birthday (second Monday in June), Christmas Day and Boxing Day. A regression-based approach is employed. The results indicate that the Australian market overall provides evidence of a pre-holiday effect in common with small cap stocks. However, the market level effect appears to be solely …
Assessing Financial Integration In European Union Equity Markets, 1990-2006: Panel Unit Root And Multivariate Cointegration And Causality Evidence, A. C. Worthington, H. Higgs
Assessing Financial Integration In European Union Equity Markets, 1990-2006: Panel Unit Root And Multivariate Cointegration And Causality Evidence, A. C. Worthington, H. Higgs
Faculty of Commerce - Papers (Archive)
This paper measures financial integration among selected European Union equity markets over the period July 1990 to June 2006 using daily data. Eleven markets (Austria, Belgium, Denmark, France, Germany, Greece, Ireland, Italy, Netherlands, Spain and the United Kingdom) are included in the analysis. Panel unit root tests are used to test for non-stationarity, and multivariate cointegration, Granger causality and level VAR procedures and variance decompositions are conducted to examine the equilibrium and causal relationships among these markets. The results indicate that there is a stationary long-run equilibrium relationship among, and significant and substantial short and long-run causal linkages between, these …
The Efficiency Of Emerging Stock Markets: Empirical Evidence From The South Asian Region, Arusha V. Cooray, G. Wickramasighe
The Efficiency Of Emerging Stock Markets: Empirical Evidence From The South Asian Region, Arusha V. Cooray, G. Wickramasighe
Faculty of Commerce - Papers (Archive)
This paper examines the efficiency in the stock markets of India, Sri Lanka, Pakistan and Bangladesh. The Augmented Dickey Fuller (ADF-1979, 1981), the Phillips-Perron (PP-1988), the Dicky-Fuller Generalized Least Square (DF-GLS-1996) and Elliot-Rothenberg-Stock (ERS – 1996) tests are used to examine weak form stock market efficiency. Weak form efficiency is supported by the classical unit root tests. However, it is not strongly supported for Bangladesh under the DF-GLS and ERS tests. Cointegration and Granger causality tests are used to examine semi-strong form efficiency. Semi-strong form efficiency is not supported as these tests indicate a high degree of interdependence among the …