Cointegration and rolling window cointegration analysis of a selected group of stock market indices

Autores
Buzzi, Sergio Martín; Ojeda, Silvia María
Año de publicación
2015
Idioma
inglés
Tipo de recurso
documento de conferencia
Estado
versión publicada
Descripción
Fil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas. Departamento de Estadística y Matemática; Argentina.
Fil: Ojeda, Silvia María. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía y Física; Argentina.
In order to explore the degree of integration of international stock markets we select a group formed by the most important indices considering their market capitalization and geographical distribution. After testing for unit roots using the Augmented Dickey Fuller (ADF) and the Kwiatkowski Phillips Schmidt Shin (KPSS) tests, a full sample cointegration analysis is done provided that all the indices are found to be I(1). The existence of cointegration relationships can be interpreted economically as the existence of markets integration. Further, a rolling window cointegration testing procedure is implemented in the programming language R, in order to characterize the dynamic of the degree of integration ofstock markets. This analysis provides valuable information, given that an increase in the degree of cointegration can be interpreted as a signal of the presence of contagion among markets.
Fil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas. Departamento de Estadística y Matemática; Argentina.
Fil: Ojeda, Silvia María. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía y Física; Argentina.
Estadística y Probabilidad
Materia
Cointegration
Rolling window cointegration
Time series
Stock markets
Nivel de accesibilidad
acceso abierto
Condiciones de uso
Repositorio
Repositorio Digital Universitario (UNC)
Institución
Universidad Nacional de Córdoba
OAI Identificador
oai:rdu.unc.edu.ar:11086/22602
Acceder
id RDUUNC_9a5c573cbb07d2638cc5d038c1c82cab
oai_identifier_str oai:rdu.unc.edu.ar:11086/22602
network_acronym_str RDUUNC
repository_id_str 2572
network_name_str Repositorio Digital Universitario (UNC)
spelling Cointegration and rolling window cointegration analysis of a selected group of stock market indicesBuzzi, Sergio MartínOjeda, Silvia MaríaCointegrationRolling window cointegrationTime seriesStock marketsFil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas. Departamento de Estadística y Matemática; Argentina.Fil: Ojeda, Silvia María. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía y Física; Argentina.In order to explore the degree of integration of international stock markets we select a group formed by the most important indices considering their market capitalization and geographical distribution. After testing for unit roots using the Augmented Dickey Fuller (ADF) and the Kwiatkowski Phillips Schmidt Shin (KPSS) tests, a full sample cointegration analysis is done provided that all the indices are found to be I(1). The existence of cointegration relationships can be interpreted economically as the existence of markets integration. Further, a rolling window cointegration testing procedure is implemented in the programming language R, in order to characterize the dynamic of the degree of integration ofstock markets. This analysis provides valuable information, given that an increase in the degree of cointegration can be interpreted as a signal of the presence of contagion among markets.Fil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas. Departamento de Estadística y Matemática; Argentina.Fil: Ojeda, Silvia María. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía y Física; Argentina.Estadística y Probabilidad2015-10info:eu-repo/semantics/conferenceObjectinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_5794info:ar-repo/semantics/documentoDeConferenciaapplication/pdf2451-8131http://hdl.handle.net/11086/22602enginfo:eu-repo/semantics/openAccessreponame:Repositorio Digital Universitario (UNC)instname:Universidad Nacional de Córdobainstacron:UNC2025-09-29T13:41:36Zoai:rdu.unc.edu.ar:11086/22602Institucionalhttps://rdu.unc.edu.ar/Universidad públicaNo correspondehttp://rdu.unc.edu.ar/oai/snrdoca.unc@gmail.comArgentinaNo correspondeNo correspondeNo correspondeopendoar:25722025-09-29 13:41:36.953Repositorio Digital Universitario (UNC) - Universidad Nacional de Córdobafalse
dc.title.none.fl_str_mv Cointegration and rolling window cointegration analysis of a selected group of stock market indices
title Cointegration and rolling window cointegration analysis of a selected group of stock market indices
spellingShingle Cointegration and rolling window cointegration analysis of a selected group of stock market indices
Buzzi, Sergio Martín
Cointegration
Rolling window cointegration
Time series
Stock markets
title_short Cointegration and rolling window cointegration analysis of a selected group of stock market indices
title_full Cointegration and rolling window cointegration analysis of a selected group of stock market indices
title_fullStr Cointegration and rolling window cointegration analysis of a selected group of stock market indices
title_full_unstemmed Cointegration and rolling window cointegration analysis of a selected group of stock market indices
title_sort Cointegration and rolling window cointegration analysis of a selected group of stock market indices
dc.creator.none.fl_str_mv Buzzi, Sergio Martín
Ojeda, Silvia María
author Buzzi, Sergio Martín
author_facet Buzzi, Sergio Martín
Ojeda, Silvia María
author_role author
author2 Ojeda, Silvia María
author2_role author
dc.subject.none.fl_str_mv Cointegration
Rolling window cointegration
Time series
Stock markets
topic Cointegration
Rolling window cointegration
Time series
Stock markets
dc.description.none.fl_txt_mv Fil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas. Departamento de Estadística y Matemática; Argentina.
Fil: Ojeda, Silvia María. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía y Física; Argentina.
In order to explore the degree of integration of international stock markets we select a group formed by the most important indices considering their market capitalization and geographical distribution. After testing for unit roots using the Augmented Dickey Fuller (ADF) and the Kwiatkowski Phillips Schmidt Shin (KPSS) tests, a full sample cointegration analysis is done provided that all the indices are found to be I(1). The existence of cointegration relationships can be interpreted economically as the existence of markets integration. Further, a rolling window cointegration testing procedure is implemented in the programming language R, in order to characterize the dynamic of the degree of integration ofstock markets. This analysis provides valuable information, given that an increase in the degree of cointegration can be interpreted as a signal of the presence of contagion among markets.
Fil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas. Departamento de Estadística y Matemática; Argentina.
Fil: Ojeda, Silvia María. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía y Física; Argentina.
Estadística y Probabilidad
description Fil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas. Departamento de Estadística y Matemática; Argentina.
publishDate 2015
dc.date.none.fl_str_mv 2015-10
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dc.identifier.none.fl_str_mv 2451-8131
http://hdl.handle.net/11086/22602
identifier_str_mv 2451-8131
url http://hdl.handle.net/11086/22602
dc.language.none.fl_str_mv eng
language eng
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
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dc.source.none.fl_str_mv reponame:Repositorio Digital Universitario (UNC)
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reponame_str Repositorio Digital Universitario (UNC)
collection Repositorio Digital Universitario (UNC)
instname_str Universidad Nacional de Córdoba
instacron_str UNC
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repository.name.fl_str_mv Repositorio Digital Universitario (UNC) - Universidad Nacional de Córdoba
repository.mail.fl_str_mv oca.unc@gmail.com
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