STOCK MARKET COINTEGRATION AND DIVERSIFICATION OPPORTUNITIES UNDER INFLATION TARGETING REGIME

Autor/innen

  • Albina Hysaj Metropolitan University of Tirana, Albania
  • Güven Sevil Anadolu University, Turkey

DOI:

https://doi.org/10.46827/ejefr.v4i4.982

Schlagwörter:

cointegration, diversification, stock markets, index

Abstract

Monetary authorities use monetary policy to achieve their objectives. Keeping inflation stable, at low levels is the main objective of central banks. While central banks use monetary policy to control inflation, its decisions also impact the overall economy and financial market. The aim of this paper is to investigate the diversification opportunities in 17 developed and emerging market economies that have implemented inflation targeting. By using Johansson cointegration and Gregory Hanssen tests we investigate the existence of long run co integration relationship between different markets. Moreover, we investigate the short run diversification opportunities by analyzing the short run exposure of each stock index to the S&P 1200 Global Index. The results of our study suggest that stock markets of Brazil and Czech Republic offer very good diversification opportunities, while the Colombian stock market offers very limited diversification opportunities as Colombia stock index has co integration relationship with almost other indices. JEL: G15, G11

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Autor/innen-Biografien

  • Albina Hysaj, Metropolitan University of Tirana, Albania
    Prof. Dr. Güven Sevil is a full time professor at Open Education Faculty, Anadolu University. Prof. Sevil is specialized in subjects such as Risk Management and Insurance, Financial Economics and Behavioral Economics, Financial Markets and Institutions, Investment and Portfolio Management, and so forth. He is the author and coauthor of several articles published in high impact journals and the author of 17 books. His research interest is related with areas in which he is specialized.
  • Güven Sevil, Anadolu University, Turkey
    Dr. Albina Hysaj is a full time lecturer at Faculty of Economy, Metropolitan University of Tirana. She has a PhD in Finance. She teaches subjects such as Finance Foundations, Corporate Finance and Financial Industry. Her research interest is focused in areas such as Financial Markets, Financial Economics and so forth.

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Veröffentlicht

2021-01-16

Ausgabe

Bd. 4 Nr. 4 (2021)

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