STOCK MARKET COINTEGRATION AND DIVERSIFICATION OPPORTUNITIES UNDER INFLATION TARGETING REGIME

Penulis

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

DOI:

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

Kata Kunci:

cointegration, diversification, stock markets, index

Abstrak

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

Article visualizations:

Hit counter

Biografi Penulis

  • 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.

Referensi

Abidin, S., Reddy, K., & Zhang, C. (2015). Intensity of Price and Volatility Spillovers Effects in Asia Pacific Basin Equity Markets. Australasian Accounting Business and Finance Journal, 3-18.

Andrew, B. (2012, November). The national bureau of economic research. Retrieved May 2016, from the national bureau of economic research: http://www.nber.org/digest/jan99/w6724.html

Antiri, G. A., & Quansah, E. (2017). Cointegration of Stock Prices and Domestic Portfolio Diversification Opportunities: Evidence from the Ghana Stock Exchange. Applied Economics and Finance, 4(5), 78-93. doi: https://doi.org/10.11114/aef.v4i5.2475

Assidenou, K. E. (2011). Cointegration of Major Stock Market Indices during the 2008 Global Financial Distress. International Journal of Economics and Finance, 212-222.

Auzairy, N. A., Ahmad, R., Ho, C. S., & Sapian, R. Z. (2012). Integration of Asian Stock Markets. International Journal of Social, Behavioral, Educational, Economic, Business and Industrial Engineering, 3503-3509.

Coleman, S., Leon, V., & Medeiros, O. R. (2018). Latin American stock market dynamics and comovement. International Journal of Finance & Economics, 24, 1109-1129. DOI: 10.1002/ijfe.1708

Çelik, S., & Baydan, E. (2015, May). Bringing a new perspective on Co movements of stock markets in emerging economies through causality and wavelet analysis. Topics in Middle Eastern and African Economies, pp. 26-51.

Chow, G. C., Huang, S., & Niu, L. (2011). Princeton University. Retrieved May 2016, from Princeton University: https://www.princeton.edu/~gchow/Econometric%20Analysis%20of%20Stock%20Price%2020111004.pdf

Ergun, U., & Nor, A. H. (2010). The stock market relationship between Tukey and the United States under unionisation. Asian Academy of Management Journal of Accounting and Finance, 19-33.

Geyikci, U. B. (2017). Test for cointegration and causality between ISE and emerging market indices; diversification opportunities for investors. International Journal of Human Sciences, 14(4), 3486-3503. DOI:10.14687/jhs.v14i4.4943

Gregory, A. w., & Hansen, B. E. (1996). Residual-Based tests for cointegration in models with regime shifts. Journal of Econometrics(70), 99-126. Retrieved from https://reader.elsevier.com/reader/sd/pii/0304407669416857?token=1DE4D0C89F7C19CDC1C6D2D7724AE53249A11459460AF546A23DF76DCF0986A9E0BC1F66FC02B136C2A5A742B9ACFF60

Johansen, S. (1991, November). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580.

Khan, T. A. (2011). Cointegration of International Stock Markets: An Investigation of Diversification Opportunities. Undergraduate Economic Review, 8(1). Retrieved from https://core.ac.uk/download/pdf/59225272.pdf

Lim, L. K. (2007). Modelling and Simulation Society of Australia and New Zealand Inc. (MSSANZ). Retrieved May 2016, from Modelling and Simulation Society of Australia and New Zealand Inc. (MSSANZ): http://www.mssanz.org.au/MODSIM07/papers/29_s1/LinkagesBetween_s1_Lim_.pdf

Liu, C. (2009, May). Regional Integration of Stock Markets in Asia Pacific Countries.

Gregory, H., Saikkonen, P., & Trenkler, C. (2001). Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process. Econometrics Journal, 4, 287-310.

Öztürk, H. (2018). Cointegration Analysis of BIST 30 Index and MSCI Emerging Markets Index: Pre and Post Global Financial Crisis. Business and Economics Research Journal, 9(1), 109-121. DOI:: 10.20409/berj.2017.89

Palamalai, S., Kalaivani, M., & Devakumar, C. (2013). Stock Market Linkages in Emerging Asia- Pacific Markets. Sage Publications, 1-15.

Sugisaki, S. (1998, December 5). International Monetary Fund. Retrieved May 2, 2016, from International Monetary Fund: https://www.imf.org/external/np/speeches/1998/120598.htm

Wong, W.-K., Penm, J., Terrel, R. D., & Lim, Y. C. (2004). The relationship between stock markets of major developed countries and Asian emerging markets. Journal of Applied Mathematics and Decision Sciences, 201-218.

Yang, J., Kolari, J. W., & Min, I. (2003). Stock market integration and financial crises: the case of Asia. Applied Financial Economics, 477-486.

Unduhan

Diterbitkan

2021-01-16

Terbitan

Vol 4 No 4 (2021)

Bagian

Articles