International stock markets : a co integration analysis

Abstract

A dynamic model of ten international stock markets is being examined for the widespread notion of co-integration. The globalization effect has radically changed the way stock markets and investors are behaving. In this new financial environment the co movement of the markets is inevitable, though the continuous flow of global funds between the economies, affects the course of these markets in a similar way. Time series of the stocks are entailing unknown and not easily measured factors. Traditional methodologies of statistic test cannot produce reliable outcomes. Four different approaches are used to discover, whether there is some kind of relation between the international stock markets.