Dynamic Cointegrations Among European Stockmarkets
Management and Economics, Biannual Scientific Journal, Papazisis, Vol 3, Νο 3 pp 147-165 (2005)
17 Pages Posted: 11 Sep 2014 Last revised: 15 Sep 2014
Date Written: 2005
The main objective of this paper is to examine the existence of cointegration and causality among the major European stock market indices, like the CAC40 (France), the DAX30 (Germany), the SMI (Switzerland), the FTSE100 (England) and the General Index (Greece). The empirical proof of such an existence, would indicate that the movements of one or more indices play a major role in the European StockMarket causing in a bigger or smaller way parallel moves to the other indices. Through this examination of such relationships among the European Indices, the efficient market hypothesis is also being checked. Probable signs of cointegration among the stock markets will indicate that the bibliography references about the advantages of international diversification are exaggerated. In addition it will show that the selection of an optimum global portfolio is not an easy task and it needs careful consideration.
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