Globalization and long-run co-movements in the stock market for the G7: An application of VECM under structural breaks

This paper analyzes the process of long-run co-movements and stock market globalization on the basis of cointegration tests and vector error correction (VEC) models. The cointegration tests used here allow for structural breaks to be explicitly modeled and breakpoints to be computed on a relative-ti...

Full description

Bibliographic Details
Main Author: Menezes, Rui (author)
Other Authors: Dionísio, Andreia (author)
Format: article
Language:eng
Published: 2012
Subjects:
globalization
long-run comovements
VECM
Structutal breaks
Online Access:http://hdl.handle.net/10174/3137
Country:Portugal
Oai:oai:dspace.uevora.pt:10174/3137

Internet

http://hdl.handle.net/10174/3137

Similar Items