Johansen Cointegration Analysis of American and European Stock Market Indices: An Empirical Study
(2009)Department of Business Administration
- Abstract
- Cointegration analysis using the Johansen Method on 3 different sample periods (2-, 4-, and 8-year samples) concluded evidence of one cointegrating vector in the 2 and 8 year samples while the 4 year data gave mixed results suggesting the economic shock (Global Financial Crisis) of 2007 and on may have affected those results. Overall, we conclude little diversification benefits between the markets studied in the long-term, but see possible opportunities for excess returns in the short-term.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/1437434
- author
- Skerman, Robert and Della Maggiora, Daniel
- supervisor
- organization
- year
- 2009
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Cointegration, Johansen, Market Integration, American and European Markets, Economic Shocks, International, Management of enterprises, Företagsledning, management
- language
- Swedish
- id
- 1437434
- date added to LUP
- 2009-06-04 00:00:00
- date last changed
- 2012-04-02 17:36:55
@misc{1437434, abstract = {{Cointegration analysis using the Johansen Method on 3 different sample periods (2-, 4-, and 8-year samples) concluded evidence of one cointegrating vector in the 2 and 8 year samples while the 4 year data gave mixed results suggesting the economic shock (Global Financial Crisis) of 2007 and on may have affected those results. Overall, we conclude little diversification benefits between the markets studied in the long-term, but see possible opportunities for excess returns in the short-term.}}, author = {{Skerman, Robert and Della Maggiora, Daniel}}, language = {{swe}}, note = {{Student Paper}}, title = {{Johansen Cointegration Analysis of American and European Stock Market Indices: An Empirical Study}}, year = {{2009}}, }