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Johansen Cointegration Analysis of American and European Stock Market Indices: An Empirical Study

Skerman, Robert and Della Maggiora, Daniel (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.
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author
Skerman, Robert and Della Maggiora, Daniel
supervisor
organization
year
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},
  keyword      = {Cointegration,Johansen,Market Integration,American and European Markets,Economic Shocks,International,Management of enterprises,Företagsledning, management},
  language     = {swe},
  note         = {Student Paper},
  title        = {Johansen Cointegration Analysis of American and European Stock Market Indices: An Empirical Study},
  year         = {2009},
}