Δυναμικοί δεσμοί μεταξύ των διεθνών χρηματιστηριακών αγορών : ο ρόλος της απελευθεροποίησης

Abstract

Many studies have examined the relationships among international stock markets but few of them have considered the effect of liberalization on them.The main purpose of this paper is to fill this gap by examining the causality relationship and volatility spillover effects before and after the liberalization period for seven international stock markets U.S.A., India, Japan, Malaysia, Philippines, Pakistan and Thailand. Through cross – country analysis, we are interested in studying the returns of above international stock markets and trying to derive some valuable information of the dynamic linkages and relationships among above stock markets by pointing how much correlated they were or are during pre and post liberalization period.Two methodologies have been applied. The methodology developed by Cheung and Ng in 1996, causality –in-variance test and a VAR analysis, through which we try to capture the interdependencies between the time series returns of these seven stock market indices.